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Item type | Location | Call Number | Status | Notes | Date Due |
---|---|---|---|---|---|
Book | AUM Main Library | 332.015195 A374 (Browse Shelf) | Available | JBC/2012/6152 | |
Book | AUM Main Library | 332.015195 A374 (Browse Shelf) | Available | JBC/2012/6152 |
332.015118 S864Stochastic processes for insurance and finance / | 332.0151922 J352Mathematical fianance : | 332.0151923 L735Introductory stochastic analysis for finance and insurance / | 332.015195 A374Market Risk Analysis : | 332.015195 A374Market Risk Analysis : | 332.015195 A374Market Risk Analysis : |
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Annotation Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one–semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet.
All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD–ROM . Empirical examples and case studies specific to this volume include:
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