Market Models
Market Models
A Guide to Financial Data Analysis
Alexander, Carol
John Wiley & Sons Inc
09/2001
514
Dura
Inglês
9780471899754
1200
Descrição não disponível.
Preface. Acknowledgments. PART I: VOLATILITY AND CORRELATION ANALYSIS. Understanding Volatility and Correlation. Implied Volatility and Correlation. Moving Average Models. GARCH Models. Forecasting Volatility and Correlation. PART II: MODELLING THE MARKET RISK OF PORTFOLIOS. Principal Component Analysis. Covariance Matrices. Risk Measurement in Factor Models. Value-At-Risk. Modelling Non-Normal Returns. PART III: STATISTICAL MODELS FOR FINANCIAL MARKETS. Time Series Models. Cointegration. Forecasting High-Frequency Data. Technical Appendices. A1 Linear Regression. A2 Statistical Inference. A3 Residual Analysis. A4 Data Problems. A5 Prediction. A6 Maximum Likelihood Methods. References. Tables. Index.
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Preface. Acknowledgments. PART I: VOLATILITY AND CORRELATION ANALYSIS. Understanding Volatility and Correlation. Implied Volatility and Correlation. Moving Average Models. GARCH Models. Forecasting Volatility and Correlation. PART II: MODELLING THE MARKET RISK OF PORTFOLIOS. Principal Component Analysis. Covariance Matrices. Risk Measurement in Factor Models. Value-At-Risk. Modelling Non-Normal Returns. PART III: STATISTICAL MODELS FOR FINANCIAL MARKETS. Time Series Models. Cointegration. Forecasting High-Frequency Data. Technical Appendices. A1 Linear Regression. A2 Statistical Inference. A3 Residual Analysis. A4 Data Problems. A5 Prediction. A6 Maximum Likelihood Methods. References. Tables. Index.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.