 Market Models: A Guide to Financial Data Analysis
ISBN: 978-0-471-89975-4
Hardcover
514 pages
December 2001
US $155.00
 Add to Cart
This price is valid for United States. Change location to view local pricing and availability. |
Instructors may request an evaluation copy for this title.
|
Preface.
Acknowledgments.
PART I: VOLATILITY AND CORRELATION ANALYSIS.
Understanding Volatility and Correlation.
Implied Volatility and Correlation.
Moving Average Models.
GARCH Models.
Forecasting Volatility and Correlation.
PART II: MODELLING THE MARKET RISK OF PORTFOLIOS.
Principal Component Analysis.
Covariance Matrices.
Risk Measurement in Factor Models.
Value-At-Risk.
Modelling Non-Normal Returns.
PART III: STATISTICAL MODELS FOR FINANCIAL MARKETS.
Time Series Models.
Cointegration.
Forecasting High-Frequency Data.
Technical Appendices.
A1 Linear Regression.
A2 Statistical Inference.
A3 Residual Analysis.
A4 Data Problems.
A5 Prediction.
A6 Maximum Likelihood Methods.
References.
Tables.
Index.
Acknowledgments.
PART I: VOLATILITY AND CORRELATION ANALYSIS.
Understanding Volatility and Correlation.
Implied Volatility and Correlation.
Moving Average Models.
GARCH Models.
Forecasting Volatility and Correlation.
PART II: MODELLING THE MARKET RISK OF PORTFOLIOS.
Principal Component Analysis.
Covariance Matrices.
Risk Measurement in Factor Models.
Value-At-Risk.
Modelling Non-Normal Returns.
PART III: STATISTICAL MODELS FOR FINANCIAL MARKETS.
Time Series Models.
Cointegration.
Forecasting High-Frequency Data.
Technical Appendices.
A1 Linear Regression.
A2 Statistical Inference.
A3 Residual Analysis.
A4 Data Problems.
A5 Prediction.
A6 Maximum Likelihood Methods.
References.
Tables.
Index.
;){kind=link}