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

Risk-Based Capital Guidelines - Market Risk (Us Federal Deposit Insurance C...
Risk-Based Capital Guidelines - Market Risk (Us Federal Deposit Insurance C...

$20.61

View Details
Essential Mathematics for Market Risk Management (The Wiley... by Hubbert, Simon
Essential Mathematics for Market Risk Management (The Wiley... by Hubbert, Simon

$27.99

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

$3.72

View Details
1977 The Art of Low Risk Investing Michael Zahorchak DJ Wall Street Stock Market
1977 The Art of Low Risk Investing Michael Zahorchak DJ Wall Street Stock Market

$45.00

View Details
Informed Risk & A Hero for Sophie Jones - Mass Market Paperback - GOOD
Informed Risk & A Hero for Sophie Jones - Mass Market Paperback - GOOD

$3.95

View Details
Guide to World Markets Ser.: Managing Foreign Exchange Risk : Strategies for...
Guide to World Markets Ser.: Managing Foreign Exchange Risk : Strategies for...

$10.00

View Details
Risk It All (Rocky Mountain Bounty Hunters) - Mass Market Paperback - VERY GOOD
Risk It All (Rocky Mountain Bounty Hunters) - Mass Market Paperback - VERY GOOD

$4.39

View Details
Acceptable Risk - Mass Market Paperback By Cook, Robin - ACCEPTABLE
Acceptable Risk - Mass Market Paperback By Cook, Robin - ACCEPTABLE

$3.94

View Details
Proactive Risk Management: Controlling Uncertainty in Product Development - GOOD
Proactive Risk Management: Controlling Uncertainty in Product Development - GOOD

$4.77

View Details
Calculated Risk (Love Inspired Suspense) - Mass Market Paperback - VERY GOOD
Calculated Risk (Love Inspired Suspense) - Mass Market Paperback - VERY GOOD

$3.96

View Details