| 000 | 05665cam a2200841Ka 4500 | ||
|---|---|---|---|
| 001 | ocn785426815 | ||
| 003 | OCoLC | ||
| 005 | 20171115081726.0 | ||
| 006 | m o d | ||
| 007 | cr cnu---unuuu | ||
| 008 | 120411s2012 njua ob 001 0 eng d | ||
| 010 | _z 2011044256 | ||
| 020 |
_a9781118272039 _q(electronic bk.) |
||
| 020 |
_a111827203X _q(electronic bk.) |
||
| 020 |
_a9781118271995 _q(electronic bk.) |
||
| 020 |
_a1118271998 _q(electronic bk.) |
||
| 020 |
_a9781118272053 _q(electronic bk.) |
||
| 020 |
_a1118272056 _q(electronic bk.) |
||
| 020 |
_z9780470872512 _q(hardback) |
||
| 020 |
_z0470872519 _q(hardback) |
||
| 028 | 0 | 1 |
_aEB00063226 _bRecorded Books |
| 029 | 1 |
_aAU@ _b000049117692 |
|
| 029 | 1 |
_aCHNEW _b000602575 |
|
| 029 | 1 |
_aCHVBK _b303063505 |
|
| 029 | 1 |
_aDEBBG _bBV041905490 |
|
| 029 | 1 |
_aDEBBG _bBV042739440 |
|
| 029 | 1 |
_aDEBSZ _b379326132 |
|
| 029 | 1 |
_aDEBSZ _b431084483 |
|
| 029 | 1 |
_aDKDLA _b820120-katalog:000588771 |
|
| 029 | 1 |
_aDKDLA _b820120-katalog:000600875 |
|
| 029 | 1 |
_aNLGGC _b341403113 |
|
| 029 | 1 |
_aNZ1 _b14687523 |
|
| 029 | 1 |
_aNZ1 _b15340237 |
|
| 035 |
_a(OCoLC)785426815 _z(OCoLC)784884240 _z(OCoLC)794488201 _z(OCoLC)839334449 _z(OCoLC)864909440 _z(OCoLC)874241832 _z(OCoLC)961516224 _z(OCoLC)962633708 |
||
| 037 |
_a51DB5767-3152-430D-9FC7-612ECE7110B9 _bOverDrive, Inc. _nhttp://www.overdrive.com |
||
| 040 |
_aN$T _beng _epn _cN$T _dCUS _dYDXCP _dDG1 _dE7B _dCDX _dOCLCQ _dIAI _dTEFOD _dOCLCF _dOCLCO _dEBLCP _dIDEBK _dDEBSZ _dRECBK _dOCLCO _dDEBBG _dTEFOD _dOCLCQ _dOCLCO _dOCLCQ _dCOO _dOCLCO _dOCLCQ _dOCLCO _dAZK _dOCLCO |
||
| 049 | _aMAIN | ||
| 050 | 4 |
_aHG1601 _b.H36 2012eb |
|
| 072 | 7 |
_aBUS _x027000 _2bisacsh |
|
| 082 | 0 | 4 |
_a332.01/5195 _223 |
| 245 | 0 | 0 |
_aHandbook of volatility models and their applications / _cedited by Luc Bauwens, Christian Hafner, Sebastien Laurent. _h[electronic resource] |
| 260 |
_aHoboken, N.J. : _bWiley, _c©2012. |
||
| 300 |
_a1 online resource (xx, 543 pages) : _billustrations. |
||
| 336 |
_atext _btxt _2rdacontent |
||
| 337 |
_acomputer _bc _2rdamedia |
||
| 338 |
_aonline resource _bcr _2rdacarrier |
||
| 347 |
_adata file _2rda |
||
| 380 | _aBibliography | ||
| 490 | 1 | _aWiley handbooks in financial engineering and econometrics | |
| 504 | _aIncludes bibliographical references and index. | ||
| 505 | 0 | _aVolatility 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 |
_a"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"-- _cProvided by publisher. |
||
| 588 | 0 | _aPrint version record. | |
| 650 | 0 |
_aBanks and banking _xEconometric models. |
|
| 650 | 0 |
_aFinance _xEconometric models. |
|
| 650 | 0 | _aGARCH model. | |
| 650 | 4 |
_aBanks and banking _xEconometric models. |
|
| 650 | 4 |
_aBUSINESS & ECONOMICS _xFinance. |
|
| 650 | 4 |
_aFinance _xEconometric models. |
|
| 650 | 4 | _aBusiness. | |
| 650 | 7 |
_aBUSINESS & ECONOMICS _xFinance. _2bisacsh |
|
| 650 | 7 |
_aBanks and banking _xEconometric models. _2fast _0(OCoLC)fst00826918 |
|
| 650 | 7 |
_aFinance _xEconometric models. _2fast _0(OCoLC)fst00924377 |
|
| 650 | 7 |
_aGARCH model. _2fast _0(OCoLC)fst01762275 |
|
| 655 | 4 | _aElectronic books. | |
| 700 | 1 |
_aBauwens, Luc, _d1952- |
|
| 700 | 1 | _aHafner, Christian. | |
| 700 | 1 |
_aLaurent, Sébastien, _d1974- |
|
| 776 | 0 | 8 |
_iPrint version: _tHandbook of volatility models and their applications. _dHoboken, N.J. : Wiley, ©2012 _z9780470872512 _w(DLC) 2011044256 _w(OCoLC)759177354 |
| 830 | 0 | _aWiley handbooks in financial engineering and econometrics. | |
| 856 | 4 | 0 |
_uhttp://onlinelibrary.wiley.com/book/10.1002/9781118272039 _zWiley Online Library |
| 942 |
_2ddc _cBK |
||
| 999 |
_c205806 _d205806 |
||