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Market risk analysis.
Alexander, Carol.
Chichester, England ; Wiley, 2008.
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
Bibliographic Information
| Format: | eBook |
|---|---|
| Author: | Alexander, Carol. |
| Subject: |
Risk management Hedging (Finance) |
| Publication Year: | 2008 |
| Language: | English |
| Published: | Chichester, England ; Wiley, 2008. |
| ISBN: | 9786612349973 6612349972 9781282349971 128234997X 9780470771037 0470771038 |
| Series: | The Wiley Finance Series ; v.2 |
| Notes: | Description based upon print version of record. Market Risk Analysis Volume II; Contents; List of Figures; List of Tables; List of Examples; Foreword; Preface to Volume II; II.1 Factor Models; II.2 Principal Component Analysis; II.3 Classical Models of Volatility and Correlation; II.4 Introduction to GARCH Models; II.5 Time Series Models and Cointegration; II.6 Introduction to Copulas; II.7 Advanced Econometric Models; II.8 Forecasting and Model Evaluation; References; Index; Plates English Includes bibliographical references and index. Description based on metadata supplied by the publisher and other sources. |
| Course: |
FIN423 |