Více než 4 miliony titulů v angličtině i dalších jazycích! Objevte svůj nový příběh ještě dnes!

ARCH Models for Financial Applications +CD

Name: ARCH Models for Financial Applications +CD
Brand: John Wiley & Sons Inc
SKU: 9780470066300
Price: 2613 CZK
Availability: InStock

Autor: Xekalaki

Jazyk:

Vazba: Pevná

Vydavatel: John Wiley & Sons Inc

Dostupnost: Skladem u dodavatele v malém množství

Odesíláme za 11-15 dnů

2 613 Kč

Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to model asset price...

Informace o knize

Autor

Xekalaki

Jazyk

Angličtina

Vazba

Kniha - Pevná

Vydáno

2010

Stránek

558

EAN

9780470066300

ISBN

047006630X

Enbook ID

04379814

Vydavatel

John Wiley & Sons Inc

Hmotnost

942

Rozměry

158 x 237 x 38

Kompletní popis

Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to model asset price volatility over time. This book introduces both the theory and applications of ARCH models and provides the basic theoretical and empirical background, before proceeding to more advanced issues and applications. The Authors provide coverage of the recent developments in ARCH modelling which can be implemented using econometric software, model construction, fitting and forecasting and model evaluation and selection.§Key Features:§Presents a comprehensive overview of both the theory and the practical applications of ARCH, an increasingly popular financial modelling technique.§Assumes no prior knowledge of ARCH models; the basics such as model construction are introduced, before proceeding to more complex applications such as value-at-risk, option pricing and model evaluation.§Uses empirical examples to demonstrate how the recent developments in ARCH can be implemented.§Provides step-by-step instructive examples, using econometric software, such as Econometric Views and the G@RCH module for the Ox software package, used in Estimating and Forecasting ARCH Models.§Accompanied by a CD-ROM containing links to the software as well as the datasets used in the examples.§Aimed at readers wishing to gain an aptitude in the applications of financial econometric modelling with a focus on practical implementation, via applications to real data and via examples worked with econometrics packages.ARCH Models for Financial Applications provides background on the theory of ARCH models, with a focus on practical implementation via applications to real data and examples worked with econometrics packages. The interactional exposition of the ARCH theory, and its implementation in practice that the authors adopt, helps readers get a deeper understanding of the models and their use as tools in applied financial contexts. Intended for readers seeking an aptitude in the applications of financial econometric modeling, this book requires only a basic knowledge of econometrics and basic undergraduate-level statistics.

Nejčastěji hledané

Categories

Authors

Publishers

Produkty

Produkty

Nejčastěji hledané

Categories

Authors

Publishers

Produkty

Produkty

ARCH Models for Financial Applications +CD

Informace o knize

Kompletní popis

Mohlo by vás zajímat

Zákaznicí kteří koupili tuto knihu koupili také