Handbook of volatility models and their applications / (Record no. 205806)
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| 001 - CONTROL NUMBER | |
| control field | ocn785426815 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OCoLC |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20171115081726.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS | |
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| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 120411s2012 njua ob 001 0 eng d |
| 010 ## - LIBRARY OF CONGRESS CONTROL NUMBER | |
| Canceled/invalid LC control number | 2011044256 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781118272039 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 111827203X |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781118271995 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1118271998 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781118272053 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1118272056 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Canceled/invalid ISBN | 9780470872512 |
| Qualifying information | (hardback) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Canceled/invalid ISBN | 0470872519 |
| Qualifying information | (hardback) |
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| Publisher number | EB00063226 |
| Source | Recorded Books |
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| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)785426815 |
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| 037 ## - SOURCE OF ACQUISITION | |
| Stock number | 51DB5767-3152-430D-9FC7-612ECE7110B9 |
| Source of stock number/acquisition | OverDrive, Inc. |
| Note | http://www.overdrive.com |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | N$T |
| Language of cataloging | eng |
| Description conventions | pn |
| Transcribing agency | N$T |
| Modifying agency | CUS |
| -- | YDXCP |
| -- | DG1 |
| -- | E7B |
| -- | CDX |
| -- | OCLCQ |
| -- | IAI |
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| 049 ## - LOCAL HOLDINGS (OCLC) | |
| Holding library | MAIN |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG1601 |
| Item number | .H36 2012eb |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | BUS |
| Subject category code subdivision | 027000 |
| Source | bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.01/5195 |
| Edition number | 23 |
| 245 00 - TITLE STATEMENT | |
| Title | Handbook of volatility models and their applications / |
| Statement of responsibility, etc. | edited by Luc Bauwens, Christian Hafner, Sebastien Laurent. |
| Medium | [electronic resource] |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc. | Hoboken, N.J. : |
| Name of publisher, distributor, etc. | Wiley, |
| Date of publication, distribution, etc. | ©2012. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (xx, 543 pages) : |
| Other physical details | illustrations. |
| 336 ## - CONTENT TYPE | |
| Content type term | text |
| Content type code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media type term | computer |
| Media type code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier type term | online resource |
| Carrier type code | cr |
| Source | rdacarrier |
| 347 ## - DIGITAL FILE CHARACTERISTICS | |
| File type | data file |
| Source | rda |
| 380 ## - FORM OF WORK | |
| Form of work | Bibliography |
| 490 1# - SERIES STATEMENT | |
| Series statement | Wiley handbooks in financial engineering and econometrics |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE | |
| Bibliography, etc | Includes bibliographical references and index. |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 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. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | "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"-- |
| Assigning source | Provided by publisher. |
| 588 0# - SOURCE OF DESCRIPTION NOTE | |
| Source of description note | Print version record. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Banks and banking |
| General subdivision | Econometric models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance |
| General subdivision | Econometric models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | GARCH model. |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Banks and banking |
| General subdivision | Econometric models. |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | BUSINESS & ECONOMICS |
| General subdivision | Finance. |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance |
| General subdivision | Econometric models. |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Business. |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | BUSINESS & ECONOMICS |
| General subdivision | Finance. |
| Source of heading or term | bisacsh |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Banks and banking |
| General subdivision | Econometric models. |
| Source of heading or term | fast |
| Authority record control number | (OCoLC)fst00826918 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance |
| General subdivision | Econometric models. |
| Source of heading or term | fast |
| Authority record control number | (OCoLC)fst00924377 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | GARCH model. |
| Source of heading or term | fast |
| Authority record control number | (OCoLC)fst01762275 |
| 655 #4 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Bauwens, Luc, |
| Dates associated with a name | 1952- |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Hafner, Christian. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Laurent, Sébastien, |
| Dates associated with a name | 1974- |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Relationship information | Print version: |
| Title | Handbook of volatility models and their applications. |
| Place, publisher, and date of publication | Hoboken, N.J. : Wiley, ©2012 |
| International Standard Book Number | 9780470872512 |
| Record control number | (DLC) 2011044256 |
| -- | (OCoLC)759177354 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Wiley handbooks in financial engineering and econometrics. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | http://onlinelibrary.wiley.com/book/10.1002/9781118272039 |
| Public note | Wiley Online Library |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | |
| Koha item type | Books |
No items available.