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Bauwens, Luc

Handbook of Volatility Models and Their Applications

Bauwens, Luc - Handbook of Volatility Models and Their Applications, ebook

148,80€

Ebook, ePUB with Adobe DRM
ISBN: 9781118272053
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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.

Keywords: Financial Engineering, volatility modeling, statistical decision making, financial engineering, financial statistics, applied statistics, volatility in the marketplace, market volatility, volatility trading

Author(s)
 
 
Publisher
John Wiley and Sons, Inc.
Publication year
2012
Language
en
Edition
1
Series
Wiley Handbooks in Financial Engineering and Econometrics
Page amount
512 pages
Category
Economy
Format
Ebook
eISBN (ePUB)
9781118272053
Printed ISBN
9780470872512

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