Bauwens / Hafner / Laurent Handbook of Volatility Models and Their Applications

1. Auflage 2012
ISBN: 978-1-118-27199-5
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 576 Seiten, E-Book

Reihe: Wiley Handbooks in Financial Engineering and Econometrics

A complete guide to the theory and practice of volatility modelsin financial engineering
Volatility has become a hot topic in this era of instantcommunications, spawning a great deal of research in empiricalfinance and time series econometrics. Providing an overview of themost recent advances, Handbook of Volatility Models and TheirApplications explores key concepts and topics essential formodeling the volatility of financial time series, both univariateand multivariate, parametric and non-parametric, high-frequency andlow-frequency.
Featuring contributions from international experts in the field,the book features numerous examples and applications fromreal-world projects and cutting-edge research, showing step by stephow to use various methods accurately and efficiently whenassessing volatility rates. Following a comprehensive introductionto the topic, readers are provided with three distinct sectionsthat unify the statistical and practical aspects of volatility:
* Autoregressive Conditional Heteroskedasticity and StochasticVolatility presents ARCH and stochastic volatility models, with afocus on recent research topics including mean, volatility, andskewness spillovers in equity markets
* Other Models and Methods presents alternative approaches, suchas multiplicative error models, nonparametric and semi-parametricmodels, and copula-based models of (co)volatilities
* Realized Volatility explores issues of the measurement ofvolatility by realized variances and covariances, guiding readerson how to successfully model and forecast these measures
Handbook of Volatility Models and Their Applications isan essential reference for academics and practitioners in finance,business, and econometrics who work with volatility models in theireveryday work. The book also serves as a supplement for courses onrisk management and volatility at the upper-undergraduate andgraduate levels.

Autoren/Hrsg.

Bauwens, Luc

Hafner, Christian M.

Laurent, Sebastien

Über Autor(innen)

Luc Bauwens, PhD, is Professor of Economics at theUniversité catholique de Louvain (Belgium), where he is alsoPresident of the Center for Operations Research and Econometrics(CORE). He has written more than 100 published papers on the topicsof econometrics, statistics, and microeconomics.
Christian Hafner, PhD, is Professor and President of the LouvainSchool of Statistics, Biostatistics, and Actuarial Science (LSBA)at the Université catholique de Louvain (Belgium). He haspublished extensively in the areas of time series econometrics,applied nonparametric statistics, and empirical finance.
Sebastien Laurent, PhD, is Associate Professor of Econometricsin the Department of Quantitative Economics at MaastrichtUniversity (The Netherlands). Dr. Laurent's current areas ofresearch interest include financial econometrics and computationaleconometrics.