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 ...
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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.
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Add this copy of Market Risk Analysis, Practical Financial Econometrics to cart. $30.03, fair condition, Sold by BooksRun rated 4.0 out of 5 stars, ships from Philadelphia, PA, UNITED STATES, published 2008 by Wiley.
Add this copy of Market Risk Analysis Volume II: Practical Financial to cart. $37.00, like new condition, Sold by Argosy Book Store rated 5.0 out of 5 stars, ships from New York, NY, UNITED STATES, published 2008 by Wiley.
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Fine in fine jacket. Filled with tables, graphs, and equations. xxx + 396 pages, 8vo, black cloth, d.w., the accompanying CD housed in a pocket inside rear cover is present. Chichester: John Wiley & Sons, (2008). A fine copy in a fine dust wrapper.
Add this copy of Market Risk Analysis, Practical Financial Econometrics to cart. $57.77, good condition, Sold by Anybook rated 5.0 out of 5 stars, ships from Lincoln, UNITED KINGDOM, published 2008 by John Wiley and Sons.
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This is an ex-library book and may have the usual library/used-book markings inside. This book has hardback covers. In good all round condition. Dust jacket in good condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item, 1000grams, ISBN: 9780470998014.
Add this copy of Market Risk Analysis, Practical Financial Econometrics to cart. $61.56, like new condition, Sold by GreatBookPricesUK5 rated 4.0 out of 5 stars, ships from Castle Donington, DERBYSHIRE, UNITED KINGDOM, published 2008 by Wiley.
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Fine. Wiley Finance. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
Add this copy of Market Risk Analysis, Practical Financial Econometrics to cart. $74.47, good condition, Sold by Bonita rated 4.0 out of 5 stars, ships from Newport Coast, CA, UNITED STATES, published 2008 by Wiley.
Add this copy of Market Risk Analysis, Practical Financial Econometrics to cart. $85.79, like new condition, Sold by GreatBookPrices rated 4.0 out of 5 stars, ships from Columbia, MD, UNITED STATES, published 2008 by Wiley.
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Fine. Wiley Finance. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
