Handbook of volatility models and their applications:
"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 expert...
Gespeichert in:
| Format: | Elektronisch E-Book |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ
Wiley
2012
|
| Schriftenreihe: | Wiley handbooks in financial engineering and econometrics
|
| Schlagworte: | |
| Online-Zugang: | FAB01 FRO01 FUBA1 UBM01 UBT01 Volltext |
| Zusammenfassung: | "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"-- |
| Beschreibung: | 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 |
| Beschreibung: | 1 Online-Ressource (XX, 543 S.) |
| ISBN: | 9781118271995 9781118272039 |
Internformat
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Datensatz im Suchindex
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| isbn | 9781118271995 9781118272039 |
| language | English |
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| spelling | Handbook of volatility models and their applications edited by Luc Bauwens ; Christian Hafner ; Sebastien Laurent Hoboken, NJ Wiley 2012 1 Online-Ressource (XX, 543 S.) txt rdacontent c rdamedia cr rdacarrier Wiley handbooks in financial engineering and econometrics 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 "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"-- BUSINESS & ECONOMICS / Finance bisacsh Bank Wirtschaft Ökonometrisches Modell Banks and banking / Econometric models Finance / Econometric models GARCH model Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Finanzierung (DE-588)4017182-6 s Zeitreihenanalyse (DE-588)4067486-1 s Volatilität (DE-588)4268390-7 s Mathematisches Modell (DE-588)4114528-8 s b DE-604 Bauwens, Luc 1952- Sonstige (DE-588)17029837X oth Hafner, Christian M. 1967- Sonstige (DE-588)115629793 oth Laurent, Sébastien Sonstige (DE-588)171711793 oth Erscheint auch als Druck-Ausgabe 978-0-470-87251-2 https://onlinelibrary.wiley.com/doi/book/10.1002/9781118272039 Verlag Volltext |
| spellingShingle | Handbook of volatility models and their applications BUSINESS & ECONOMICS / Finance bisacsh Bank Wirtschaft Ökonometrisches Modell Banks and banking / Econometric models Finance / Econometric models GARCH model Mathematisches Modell (DE-588)4114528-8 gnd Volatilität (DE-588)4268390-7 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Finanzierung (DE-588)4017182-6 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4268390-7 (DE-588)4067486-1 (DE-588)4017182-6 (DE-588)4143413-4 |
| title | Handbook of volatility models and their applications |
| title_auth | Handbook of volatility models and their applications |
| title_exact_search | Handbook of volatility models and their applications |
| title_full | Handbook of volatility models and their applications edited by Luc Bauwens ; Christian Hafner ; Sebastien Laurent |
| title_fullStr | Handbook of volatility models and their applications edited by Luc Bauwens ; Christian Hafner ; Sebastien Laurent |
| title_full_unstemmed | Handbook of volatility models and their applications edited by Luc Bauwens ; Christian Hafner ; Sebastien Laurent |
| title_short | Handbook of volatility models and their applications |
| title_sort | handbook of volatility models and their applications |
| topic | BUSINESS & ECONOMICS / Finance bisacsh Bank Wirtschaft Ökonometrisches Modell Banks and banking / Econometric models Finance / Econometric models GARCH model Mathematisches Modell (DE-588)4114528-8 gnd Volatilität (DE-588)4268390-7 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Finanzierung (DE-588)4017182-6 gnd |
| topic_facet | BUSINESS & ECONOMICS / Finance Bank Wirtschaft Ökonometrisches Modell Banks and banking / Econometric models Finance / Econometric models GARCH model Mathematisches Modell Volatilität Zeitreihenanalyse Finanzierung Aufsatzsammlung |
| url | https://onlinelibrary.wiley.com/doi/book/10.1002/9781118272039 |
| work_keys_str_mv | AT bauwensluc handbookofvolatilitymodelsandtheirapplications AT hafnerchristianm handbookofvolatilitymodelsandtheirapplications AT laurentsebastien handbookofvolatilitymodelsandtheirapplications |