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Handbook of Volatility Models and Their Applications (Hardcover) Loot Price: R4,466
Discovery Miles 44 660
Handbook of Volatility Models and Their Applications (Hardcover): L Bauwens

Handbook of Volatility Models and Their Applications (Hardcover)

L Bauwens

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Loot Price R4,466 Discovery Miles 44 660 | Repayment Terms: R419 pm x 12*

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A complete guide to the theory and practice of volatility models in financial engineering

Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, "Handbook of Volatility Models and Their Applications" explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency.

Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility:

Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets

Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities

Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures

"Handbook of Volatility Models and Their Applications" is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.

General

Imprint: John Wiley & Sons
Country of origin: United States
Release date: April 2012
First published: 2012
Authors: L Bauwens
Dimensions: 238 x 162 x 37mm (L x W x T)
Format: Hardcover
Pages: 576
ISBN-13: 978-0-470-87251-2
Categories: Books > Business & Economics > Economics > Econometrics > General
Books > Business & Economics > Finance & accounting > Finance > Insurance > General
Books > Money & Finance > Insurance > General
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LSN: 0-470-87251-9
Barcode: 9780470872512

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