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E-book

Title Handbook of volatility models and their applications / edited by Luc Bauwens, Christian Hafner, Sebastien Laurent
Published Hoboken, N.J. : Wiley, ©2012
Online access available from:
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Description 1 online resource (xx, 543 pages) : illustrations
Series Wiley handbooks in financial engineering and econometrics
Wiley handbooks in financial engineering and econometrics.
Contents Volatility models -- Nonlinear models for autoregressive conditional heteroskedasticity -- Mixture and regime-switching GARCH models -- Forecasting high dimensional covariance matrices -- Mean, volatility, and skewness spillovers in equity markets -- Relating stochastic volatility estimation methods -- Multivariate stochastic volatility models -- Model selection and testing of conditional and stochastic volatility models -- Multiplicative error models -- Locally stationary volatility modeling -- Nonparametric and semiparametric volatility models : specification, estimation, and testing -- Copula-based volatility models -- Realized volatility : theory and applications -- Likelihood-based volatility estimators in the presence of market microstructure noise -- HAR modeling for realized volatility forecasting -- Forecasting volatility with MIDAS -- Jumps -- Nonparametric tests for intraday jumps : impact of periodicity and microstructure noise -- Volatility forecasts evaluation and comparison
Summary "The main purpose of this handbook is to illustrate the mathematically fundamental implementation of various volatility models in the banking and financial industries, both at home and abroad, through use of real-world, time-sensitive applications. Conceived and written by over two-dozen experts in the field, the focus is to cohesively demonstrate how 'volatile' certain statistical decision-making techniques can be when solving a range of financial problems. By using examples derived from consulting projects, current research and course instruction, each chapter in the book offers a systematic understanding of the recent advances in volatility modeling related to real-world situations. Every effort is made to present a balanced treatment between theory and practice, as well as to showcase how accuracy and efficiency in implementing various methods can be used as indispensable tools in assessing volatility rates. Unique to the book is in-depth coverage of GARCH-family models, contagion, and model comparisons between different volatility models. To by-pass tedious computation, software illustrations are presented in an assortment of packages, ranging from R, C++, EXCEL-VBA, Minitab, to JMP/SAS"-- Provided by publisher
Bibliography Includes bibliographical references and index
Notes English
Print version record
Subject Banks and banking -- Econometric models
Finance -- Econometric models
GARCH model.
BUSINESS & ECONOMICS -- Finance.
Banks and banking -- Econometric models
Finance -- Econometric models
GARCH model
Form Electronic book
Author Bauwens, Luc, 1952-
Hafner, Christian.
Laurent, Sébastien, 1974-
LC no. 2011044256
ISBN 9781118272039
111827203X
9781118271995
1118271998
9781118272053
1118272056
9781280591471
1280591471
9786613621306
6613621307