Handbook of Volatility Models and Their Applications (eBook)

Luc Bauwens, Christian M. Hafner, Sebastien Laurent (Autoren)

eBook Download: PDF | EPUB

2012 | 1. Auflage
576 Seiten
John Wiley & Sons (Verlag)
978-1-118-27199-5 (ISBN)

Infos

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.

Autor

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

Rezensionen

"Conceived and written by over two-dozen experts in the fi eld, the book cohesively demonstrates how 'volatile' certain statistical decision-making techniques can be when solving a range of financial problems." (Zentralblatt MATH 2016)

Produkt-Details

• Erscheint lt. Verlag: 22.3.2012
• Reihe/Serie: Wiley Handbooks in Financial Engineering and Econometrics
• Reihe/Serie: Wiley Handbooks in Financial Engineering and Econometrics
• Sprache: englisch
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Versicherungsbetriebslehre
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
• Schlagworte: Finance & Investments • Financial Engineering • Finanztechnik • Finanz- u. Anlagewesen • Finanz- u. Wirtschaftsstatistik • Insurance & Risk Management • Statistics • Statistics for Finance, Business & Economics • Statistik • Versicherungswesen u. Risikomanagement
• ISBN-10: 1-118-27199-8 / 1118271998
• ISBN-13: 978-1-118-27199-5 / 9781118271995