ISBN 13 : 978-0471-89975-4

Contents : Contents
Part 1: Volatility and Correlation Analysis Chapter 1: Understanding Volatility and Correlation
Chapter 2: Implied Volatility and Correlation
Chapter 3: Moving Average Models
Chapter 4: GARCH Models
Chapter 5: Forecasting Volatility and Correlation

Part 2: Modelling the Market Risk of Portfolios
Chapter 6: Principal Component Analysis
Chapter 7: Covariance Matrices
Chapter 8: Risk Measurement in Factor Models
Chapter 9: Value-At-Risk
Chapter 10: Modelling Non-Normal Returns

Part 3: Statistical Models for Financial Markets
Chapter 11: Time Series Models
Chapter 12: Cointegration
Chapter 13: Forecasting High-Frequency Data

Technical Appendix

Notes : Réserve – Ask a librarian

Language : English

Place of publishing : TORONTO

Figure(s) : Tableau(x) ; Schémas

Location : Nice Library

Material : Paper

Statement : Présent

Owner : Bibliothèque