Buch, Englisch, 434 Seiten, Format (B × H): 215 mm x 279 mm, Gewicht: 1002 g
Buch, Englisch, 434 Seiten, Format (B × H): 215 mm x 279 mm, Gewicht: 1002 g
ISBN: 978-0-12-813409-2
Verlag: ACADEMIC PRESS
Zielgruppe
<li>MSc. students in Finance, Quantitative Methods (who specialize in finance), Mathematical Finance, and Engineering</li> <li>Ph.D. students who need an introductory back-up to applied courses (such as Financial Econometrics graduate courses)</li> <li>Practitioners in derivative pricing, trading, and quantitative strategies</li> <li>Asset managers, risk managers, and research analysts who focus on forecasting market quantities</li>
Autoren/Hrsg.
Fachgebiete
Weitere Infos & Material
1. Review of Key Concepts and Methods in Econometrics: Regressions Analysis2. Autoregressive-Moving Average (ARMA) Models and their Practical Applications.3. Vector Autoregressive Moving Average (VARMA) Models4. Unit Roots and Cointegration Methods5. Univariate Single-Factor Stochastic Volatility Models: Autoregressive Conditional Heteroskedasticity(ARCH and GARCH)6. Multivariate ARCH and GARCH and Dynamic Conditional Correlation Models7. Multi-Factor Volatility Models: Stochastic Volatility8. Models with Breaks, Recurrent Regime Switching, and Non-Linearities9. Markov Switching Models10. Realized Volatility and Covariance