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Market Models: A Guide to Financial Data Analysis by Carol Alexander, (2001) Publisher: John Wiley ISBN: 0-471-89975-5 Pages: 514 pages Price: £80.00 +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 |
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