Written by leading market risk academic, Professor Carol Alexander,
"Practical Financial Econometrics" forms part two of the "Market
Risk Analysis" four volume set. It introduces the econometric
techniques that are commonly applied to finance with a critical and
selective exposition, emphasising the areas of econometrics, such
as GARCH, cointegration and copulas that are required for resolving
problems in market risk analysis. The book covers material for a
one-semester graduate course in applied financial econometrics in a
very pedagogical fashion as each time a concept is introduced an
empirical example is given, and whenever possible this is
illustrated with an Excel spreadsheet.
All together, the Market Risk Analysis four volume set
illustrates virtually "every" concept or formula with a practical,
numerical example or a longer, empirical case study. Across all
four volumes there are approximately 300 numerical and empirical
examples, 400 graphs and figures and 30 case studies many of which
are contained in "interactive Excel spreadsheets" available from
the the accompanying CD-ROM . Empirical examples and case studies
specific to this volume include: Factor analysis with orthogonal
regressions and using principal component factors; Estimation of
symmetric and asymmetric, normal and Student "t"GARCH and E-GARCH
parameters; Normal, Student "t," Gumbel, Clayton, normal mixture
copula densities, and simulations from these copulas with
application to VaR and portfolio optimization; Principal component
analysis of yield curves with applications to portfolio
immunization and asset/liability management; Simulation of normal
mixture and Markov switching GARCH returns; Cointegrationbased
index tracking and pairs trading, with error correction and impulse
response modelling; Markov switching regression models (Eviews
code); GARCH term structure forecasting with volatility targeting;
Non-linear quantile regressions with applications to hedging.
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