MRA Volume II

Volume II: Practical Financial Econometrics provides a detailed understanding of financial econometrics, with applications to asset pricing and fund management as well as to market risk analysis. It covers equity factor models, including a detailed analysis of the Barra model and tracking error, principal component analysis, volatility and correlation, GARCH, cointegration, copulas, Markov switching, quantile regression, discrete choice models, non-linear regression, forecasting and model evaluation. Empirical examples and case studies on the CD-ROM include:

  • Principal component analysis of yield curves with 60 maturities
  • Estimation of symmetric and asymmetric, normal and Student t GARCH and EGARCH parameters
  • Simulation of normal mixture and Markov switching GARCH returns
  • Estimation of Markov switching models (Eviews code)
  • GARCH term structure forecasting with volatility targeting
  • Cointegration based index tracking and pairs trading models
  • Normal, Student t, Gumbel, Clayton, normal mixture copula densities
  • Simulation from bivariate distributions defined by various marginals and copulas
  • Monte Carlo simulation from quantile distributions
  • Copula quantile regression.


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ISBN: 9780470771037    424 pages    hardback    May 2008