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.

Links:

View Contents
Contents
View Preface
Preface
Discussion Forum
Discussion Forum
Typos and Changes
Corrections
Watch YouTube introduction
YouTube
View this book on Wiley.com
Publisher’s website
Buy from Amazon.co.uk
Buy this book on Amazon.co.uk
Buy from Amazon.com
Buy this book on Amazon.com

ISBN: 9780470771037    424 pages    hardback    May 2008