Handbook of Volatility Models and Their Applications by Sebastien Laurent, Christian M. Hafner, Luc Bauwens (Hardback, 2012)
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- DescriptionA complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series ecometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and n-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and ecometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
- Author BiographyLuc Bauwens, PhD, is Professor of Economics at the Universite catholique de Louvain (Belgium), where he is also President of the Center for Operations Research and Econometrics (CORE). He has written more than 100 published papers on the topics of econometrics, statistics, and microeconomics. Christian Hafner, PhD, is Professor and President of the Louvain School of Statistics, Biostatistics, and Actuarial Science (LSBA) at the Universite catholique de Louvain (Belgium). He has published extensively in the areas of time series econometrics, applied nonparametric statistics, and empirical finance. Sebastien Laurent, PhD, is Associate Professor of Econometrics in the Department of Quantitative Economics at Maastricht University (The Netherlands). Dr. Laurent's current areas of research interest include financial econometrics and computational econometrics.
- Author(s)Christian M. Hafner,Luc Bauwens,Sebastien Laurent
- PublisherJohn Wiley and Sons Ltd
- Date of Publication27/04/2012
- SubjectBusiness, Accounting & Vocational: Textbooks & Study Guides
- Series TitleWiley Handbooks in Financial Engineering and Econometrics
- Place of PublicationChicester
- Country of PublicationUnited Kingdom
- ImprintWiley-Blackwell (an imprint of John Wiley & Sons Ltd)
- Content NoteIllustrations
- Weight902 g
- Width156 mm
- Height240 mm
- Spine34 mm
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