MARC Record from Library of Congress

LEADER: 02275nam a22003258a 4500
001 2011044256
003 DLC
005 20111219094731.0
008 111130s2012 nju b 001 0 eng
010 $a 2011044256
020 $a9780470872512 (hardback)
040 $aDLC$cDLC
042 $apcc
050 00 $aHG1601$b.B38 2012
082 00 $a332.01/5195$223
084 $aBUS027000$2bisacsh
100 1 $aBauwens, Luc,$d1952-
245 10 $aHandbook of volatility models and their applications /$cLuc Bauwens, Christian Hafner, Sebastien Laurent.
260 $aHoboken, NJ :$bWiley,$c2012.
263 $a1206
300 $ap. cm.
490 0 $aWiley handbooks in financial engineering and econometrics ;$v3
520 $a"The main purpose of this handbook is to illustrate the mathematically fundamental implementation of various volatility models in the banking and financial industries, both at home and abroad, through use of real-world, time-sensitive applications. Conceived and written by over two-dozen experts in the field, the focus is to cohesively demonstrate how "volatile" certain statistical decision-making techniques can be when solving a range of financial problems. By using examples derived from consulting projects, current research and course instruction, each chapter in the book offers a systematic understanding of the recent advances in volatility modeling related to real-world situations. Every effort is made to present a balanced treatment between theory and practice, as well as to showcase how accuracy and efficiency in implementing various methods can be used as indispensable tools in assessing volatility rates. Unique to the book is in-depth coverage of GARCH-family models, contagion, and model comparisons between different volatility models. To by-pass tedious computation, software illustrations are presented in an assortment of packages, ranging from R, C++, EXCEL-VBA, Minitab, to JMP/SAS"--$cProvided by publisher.
504 $aIncludes bibliographical references and index.
650 0 $aBanks and banking$xEconometric models.
650 0 $aFinance$xEconometric models.
650 0 $aGARCH model.
650 7 $aBUSINESS & ECONOMICS / Finance$2bisacsh.
700 1 $aHafner, Christian.
700 1 $aLaurent, Sébastien,$d1974-