Market Risk Analysis, Practical Financial Econometrics (Volume II) by Carol Alexander
Market Risk Analysis, Practical Financial Econometrics (Volume II) by Carol Alexander PDF, ePub eBook D0wnl0ad
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.
From reader reviews:
Byron Jorgensen:
Within other case, little persons like to read book Market Risk Analysis, Practical Financial Econometrics (Volume II). You can choose the best book if you want reading a book. So long as we know about how is important a new book Market Risk Analysis, Practical Financial Econometrics (Volume II). You can add knowledge and of course you can around the world by the book. Absolutely right, since from book you can recognize everything! From your country until finally foreign or abroad you will find yourself known. About simple matter until wonderful thing it is possible to know that. In this era, you can open a book or maybe searching by internet unit. It is called e-book. You may use it when you feel bored to go to the library. Let's read.
James Boyett:
The knowledge that you get from Market Risk Analysis, Practical Financial Econometrics (Volume II) may be the more deep you rooting the information that hide inside the words the more you get enthusiastic about reading it. It does not mean that this book is hard to recognise but Market Risk Analysis, Practical Financial Econometrics (Volume II) giving you buzz feeling of reading. The writer conveys their point in specific way that can be understood by means of anyone who read the item because the author of this publication is well-known enough. That book also makes your vocabulary increase well. Making it easy to understand then can go along with you, both in printed or e-book style are available. We recommend you for having this kind of Market Risk Analysis, Practical Financial Econometrics (Volume II) instantly.
Sherry Fitzgerald:
Market Risk Analysis, Practical Financial Econometrics (Volume II) can be one of your beginning books that are good idea. All of us recommend that straight away because this book has good vocabulary which could increase your knowledge in vocabulary, easy to understand, bit entertaining but nonetheless delivering the information. The copy writer giving his/her effort that will put every word into satisfaction arrangement in writing Market Risk Analysis, Practical Financial Econometrics (Volume II) nevertheless doesn't forget the main place, giving the reader the hottest in addition to based confirm resource data that maybe you can be one among it. This great information could drawn you into completely new stage of crucial contemplating.
Read Market Risk Analysis, Practical Financial Econometrics (Volume II) by Carol Alexander for online ebook
Market Risk Analysis, Practical Financial Econometrics (Volume II) by Carol Alexander Free PDF d0wnl0ad, audio books, books to read, good books to read, cheap books, good books, online books, books online, book reviews epub, read books online, books to read online, online library, greatbooks to read, PDF best books to read, top books to read Market Risk Analysis, Practical Financial Econometrics (Volume II) by Carol Alexander books to read online.
Comments
Post a Comment