Market Models: A Guide to Financial Data Analysis
by Carol Alexander, (2001)

 Publisher: John Wiley
ISBN: 0-471-89975-5
Pages: 514 pages
Price: £75.00 +p&p

Contents

Table of Contents
Book Order Form
Table of Contents

Preface

Acknowledgments

Part I: Volatility and Correlation analysis

Understanding Volatility and Correlation

Implied Volatility and Correlation

Moving Average Models

GARCH Models

Forecasting Volatility and Correlation

Part II: Modelling the Market Risk of Portfolios

Principal Component Analysis

Covariance Matrices

Risk Measurement in Factor Models

Value-At-Risk

Modelling Non-Normal Returns

Part III: Statistical Model for Financial Market

Time Series Models

Cointegration

Forecasting High-Frequency Data

Technical Appendices

A1 Linear Regression

A2 Statistical Inference

A3 Residual Analysis

A4 Data Problems

A5 Prediction

A6 Maximum Likelihood Methods

References
Tables
Index