Practical Financial Econometrics

  • Share this:
Share with a friend
Sign into your email account to send this page to a friend:
Outlook or Apple Mail
or other default program

Save $25 when you open a Walmart® Credit Card and spend $75 today.*

*Offer subject to credit approval
Learn More
or Apply Now

Advertisement
  • Browse Related Products
  •  
Advertisement

Practical Financial Econometrics

Format:  Hardcover,

396 pages

Publisher: John Wiley & Sons Inc

Publish Date: Jun 2008

ISBN-13: 9780470998014

ISBN-10: 0470998016

Buy from Walmart

Shipping & Pickup
Online
$90.00

In stock for:

  • Store information not available.

 Buy from Marketplace

Shipping & Additional Information

Book Information

The following content was provided by the publisher.
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.

Specifications

Author:
Publisher: John Wiley & Sons Inc
Publish Date: Jun 2008
ISBN-13: 9780470998014
ISBN-10: 0470998016
Format: Hardcover
Number of Pages: 396
Shipping Weight (in pounds): 1.9
Product in Inches (L x W x H): 6.9 x 1.2 x 9.8
Walmart No.: 9780470998014

Chapter outline

List of Figures.
List of Tables.
List of Examples.
Foreword.
Preface to Volume II.
II.1
II.1.1
II.1.2
II.13
II.1.4
II.1.5
II.1.6
II.1.7
II.2
II.2.1
II.2.2
II.2.3
II.2.4
II.2.5
II.2.6
II.3
II.3.1
II.3.2
II.3.3
II.3.4
II.3.5
II.3.6
II.3.7
II.3.8
II.3.9
II.4
II.4.1
II.4.2
II.4.3
II.4.4
II.4.5
II.4.6
II.4.7
II.4.8
II.4.9
II.5
II.5.1
II.5.2
II.5.3
II.5.4
II.5.5
II.5.6
II.6
II.6.1
II.6.2
II.6.3
II.6.4
II.6.5
II.6.6
II.6.7
II.6.8
II.6.9
II.7
II.7.1
II.7.2
II.7.3
II.7.4
II.7.5
II.7.6
II.7.7
II.8
II.8.1
II.8.2
II.8.3
II.8.4
II.8.5
II.8.6
References.
Index.

Customer Product Reviews

 

Gifting Plans

Financing Offers

Make the most of your shopping experience with the Walmart® MasterCard® or Walmart Credit Card.

Save $25 when you open a Walmart® Credit Card and spend $75 today.*

*Offer subject to credit approval

Learn More or Apply Now