Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics, Adıgьzel Mercangцz Burcu
Автор: Bauwens Название: Handbook of Volatility Models and Their Applications ISBN: 0470872519 ISBN-13(EAN): 9780470872512 Издательство: Wiley Рейтинг: Цена: 23594.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: 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.
Автор: C. Gourieroux, J. Jasiak Название: Financial Econometrics: Problems, Models, and Methods ISBN: 0691242364 ISBN-13(EAN): 9780691242361 Издательство: Wiley Рейтинг: Цена: 12672.00 р. Наличие на складе: Поставка под заказ.
Описание: Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a fast expansion of financial markets and an increasing variety and complexity of financial products.
This has fueled the demand for people with advanced econometrics skills. For professionals and advanced graduate students pursuing greater expertise in econometric modeling, this is a superb guide to the field's frontier. With the goal of providing information that is absolutely up-to-date-essential in today's rapidly evolving financial environment-Gourieroux and Jasiak focus on methods related to foregoing research and those modeling techniques that seem relevant to future advances.
They present a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies.
Practitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors. This authoritative, state-of-the-art reference text is ideal for upper-level graduate students, researchers, and professionals seeking to update their skills and gain greater facility in using econometric models. All will benefit from the emphasis on practical aspects of financial modeling and statistical inference.
Doctoral candidates will appreciate the inclusion of detailed mathematical derivations of the deeper results as well as the more advanced problems concerning high-frequency data and risk control. By establishing a link between practical questions and the answers provided by financial and statistical theory, the book also addresses the needs of applied researchers employed by financial institutions.
Автор: Vinod, Hrishikesh D. Название: Financial, Macro And Micro Econometrics Using R,42 ISBN: 0128202505 ISBN-13(EAN): 9780128202500 Издательство: Elsevier Science Рейтинг: Цена: 33686.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
Financial, Macro and Micro Econometrics Using R, Volume 42, provides state-of-the-art information on important topics in econometrics, including multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, financial market jumps and co-jumps, among other topics.
Автор: Bruno S. Sergi, William A. Barnett Название: Quantitative Analysis of Social and Financial Market Development ISBN: 1801179212 ISBN-13(EAN): 9781801179218 Издательство: Emerald Рейтинг: Цена: 15041.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Quantitative Analysis of Social and Financial Market Development is a crucial resource of current, cutting-edge research exploring the latest social and financial developments across Asia.
Автор: Bruno S. Sergi, William A. Barnett Название: Comparative Analysis of Trade and Finance in Emerging Economies ISBN: 1804557595 ISBN-13(EAN): 9781804557594 Издательство: Emerald Рейтинг: Цена: 19312.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
This volume of the International Symposia in Economic Theory and Econometrics explores the latest economic and financial developments in Africa and Asia.
Chapters cover a range of topics such as: the relationship between good stewardship, agency costs, and performance of South African firms; stock market dynamics in Thailand, including risk & mutual fund clustering and zero-investment portfolios strategies; and a special focus on financial markets in Indonesia such as fundamental indexing with Markowitz mean variance portfolios, a financial performance analysis of highway companies before and during the Covid-19 pandemic, and a credit risk scoring model for consumer financing.
Comparative Analysis of Trade and Finance in Emerging Economies also addresses the issue of whether the West African Monetary Zone can form a Currency Union, and, examines the impact of non-tariff measures of China on the export of agricultural products of Laos.
These peer-reviewed papers touch on a variety of timely, interdisciplinary subjects such as stock markets and the effects of public policy.
Together, ISETE 31, is a crucial resource of current, cutting-edge research for any scholar of international finance and economics.
Описание: "Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance as well as a practical understanding of market behavior including both ordinary and extraordinary conditions"--
Автор: Yacine Ait-Sahalia Название: Handbook of Financial Econometrics, Vol 1,1 ISBN: 044450897X ISBN-13(EAN): 9780444508973 Издательство: Elsevier Science Рейтинг: Цена: 19875.00 р. Наличие на складе: Поставка под заказ.
Описание: Covers advances in financial econometrics. This book features topics ranging from a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment.
Описание: This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinear models for hedging purposes, and proposes new computational techniques to estimate financial processes.
Автор: Ramaprasad Bhar; Shigeyuki Hamori Название: Hidden Markov Models ISBN: 1441954481 ISBN-13(EAN): 9781441954480 Издательство: Springer Рейтинг: Цена: 23058.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Markov chains have increasingly become useful way of capturing stochastic nature of many economic and financial variables. The main aim of Hidden Markov Models: Applications to Financial Economics is to make such techniques available to more researchers in financial economics.
Описание: This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, it considers new models for hedge funds and derivatives of derivatives, and adds to the literature of testing for the efficiency of markets both theoretically and empirically.
Описание: This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
Описание: Financial models are an inescapable feature of modern financial markets. Yet it was over reliance on these models and the failure to test them properly that is now widely recognized as one of the main causes of the financial crisis of 2007–2011. Since this crisis, there has been an increase in the amount of scrutiny and testing applied to such models, and validation has become an essential part of model risk management at financial institutions. The book covers all of the major risk areas that a financial institution is exposed to and uses models for, including market risk, interest rate risk, retail credit risk, wholesale credit risk, compliance risk, and investment management. The book discusses current practices and pitfalls that model risk users need to be aware of and identifies areas where validation can be advanced in the future. This provides the first unified framework for validating risk management models.
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