Applied Financial Econometrics: Theory, Method and Applications by Maiti, Moinak
Chapter 1. Scope and Methodology of Econometrics. - Chapter 2. Random Walk Hypothesis: Random Walk Models. - Chapter 3. Geometric Brownian Motion. - Chapter 4. Efficient Frontier. - Chapter 5. Portfolio Optimisation. - Chapter 6. Introduction to Asset Pricing Factor Models: CAPM Multifactor Asset Pricing Models. - Chapter 7. Risk Analysis: Volatility risk ARCH & GARCH Models Value at Risk Models. - Chapter 8. Introduction to Fat tails: Fat tails in financial data How to handle fat tails It's implication on investment decision. - Chapter 9. Introduction to Nonlinear Models: Threshold Regression TAR (Discrete) & STAR (Smooth). - Chapter 10. Introduction to Wavelets: Multi scale Wavelet decomposition; Wavelet Covariance and Correlation; Wavelet Coherence; and Wavelet Clustering
Jetzt bei Ebay:
