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Handbook of Volatility Models and Their Applications (Cód: 9295525)

Luc Bauwens; Sebastien Laurent; Christian M. Hafner

Wiley (Digital)

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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.

Características

Produto sob encomenda Sim
Marca Wiley (Digital)
Cód. Barras 9781118272053
Início da Venda 30/12/2015
Territorialidade Internacional
Formato Livro Digital Epub
Gratuito Não
Proteção Drm Sim
Número da edição 1
Idioma 337
Código do Formato Epub
Ano da Publicação 112
Peso 0.00 Kg
AutorLuc Bauwens; Sebastien Laurent; Christian M. Hafner

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Handbook of Volatility Models and Their Applications (Cód: 9295525) Handbook of Volatility Models and Their Applicatio... (Cód: 9295525)
R$ 227,86
Handbook of Volatility Models and Their Applications (Cód: 9295525) Handbook of Volatility Models and Their Applicatio... (Cód: 9295525)
R$ 227,86