Miss Selfridge

Market Risk Analysis, Practical Financial Econometrics

Description: Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM. Empirical examples and case studies specific to this volume include: Factor analysis with orthogonal regressions and using principal component factors; Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; Simulation of normal mixture and Markov switching GARCH returns; Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; Markov switching regression models (Eviews code); GARCH term structure forecasting with volatility targeting; Non-linear quantile regressions with applications to hedging.

Price: 46.48 USD

Location: Pacific Grove, California

End Time: 2024-11-30T20:10:49.000Z

Shipping Cost: 6.38 USD

Product Images

Market Risk Analysis, Practical Financial Econometrics

Item Specifics

Return shipping will be paid by: Buyer

All returns accepted: Returns Accepted

Item must be returned within: 30 Days

Refund will be given as: Money Back

Return policy details:

price: 41.08

yearPublished: 2008

Author: Alexander, Carol

Book Title: Market Risk Analysis, Practical Financial Econometrics

Language: English

Format: Hardcover

Recommended

The 22 Immutable Laws of Marketing: Violate Them at Your Own Risk!
The 22 Immutable Laws of Marketing: Violate Them at Your Own Risk!

$5.15

View Details
Run the Risk (Love Undercover) - Mass Market Paperback By Foster, Lori - GOOD
Run the Risk (Love Undercover) - Mass Market Paperback By Foster, Lori - GOOD

$4.14

View Details
The Risk-Taker Mass Market Paperbound Kira, Sinclair, Kira Sincla
The Risk-Taker Mass Market Paperbound Kira, Sinclair, Kira Sincla

$16.08

View Details
Capital Markets, Fifth Edition : Institutions, Instruments, and Risk Management
Capital Markets, Fifth Edition : Institutions, Instruments, and Risk Management

$50.00

View Details
Risk Parity: How to Invest for All Market Environments
Risk Parity: How to Invest for All Market Environments

$11.43

View Details
Risk - Mass Market Paperback By Christopher, Ann - GOOD
Risk - Mass Market Paperback By Christopher, Ann - GOOD

$5.02

View Details
Risk and Hazard Management for Festivals and Events
Risk and Hazard Management for Festivals and Events

$36.12

View Details
High Risk (Adrenaline Search  Rescue) - Mass Market Paperback - GOOD
High Risk (Adrenaline Search Rescue) - Mass Market Paperback - GOOD

$3.97

View Details
Risk Mass Market Paperbound Dick Francis
Risk Mass Market Paperbound Dick Francis

$6.04

View Details
Risk - Mass Market Paperback By Francis, Dick - ACCEPTABLE
Risk - Mass Market Paperback By Francis, Dick - ACCEPTABLE

$3.72

View Details