05665cam a2200841Ka 4500 ocn785426815 OCoLC 20171115081726.0 m o d cr cnu---unuuu 120411s2012 njua ob 001 0 eng d 2011044256 9781118272039 (electronic bk.) 111827203X (electronic bk.) 9781118271995 (electronic bk.) 1118271998 (electronic bk.) 9781118272053 (electronic bk.) 1118272056 (electronic bk.) 9780470872512 (hardback) 0470872519 (hardback) EB00063226 Recorded Books AU@ 000049117692 CHNEW 000602575 CHVBK 303063505 DEBBG BV041905490 DEBBG BV042739440 DEBSZ 379326132 DEBSZ 431084483 DKDLA 820120-katalog:000588771 DKDLA 820120-katalog:000600875 NLGGC 341403113 NZ1 14687523 NZ1 15340237 (OCoLC)785426815 (OCoLC)784884240 (OCoLC)794488201 (OCoLC)839334449 (OCoLC)864909440 (OCoLC)874241832 (OCoLC)961516224 (OCoLC)962633708 51DB5767-3152-430D-9FC7-612ECE7110B9 OverDrive, Inc. http://www.overdrive.com N$T eng pn N$T CUS YDXCP DG1 E7B CDX OCLCQ IAI TEFOD OCLCF OCLCO EBLCP IDEBK DEBSZ RECBK OCLCO DEBBG TEFOD OCLCQ OCLCO OCLCQ COO OCLCO OCLCQ OCLCO AZK OCLCO MAIN HG1601 .H36 2012eb BUS 027000 bisacsh 332.01/5195 23 Handbook of volatility models and their applications / edited by Luc Bauwens, Christian Hafner, Sebastien Laurent. [electronic resource] Hoboken, N.J. : Wiley, ©2012. 1 online resource (xx, 543 pages) : illustrations. text txt rdacontent computer c rdamedia online resource cr rdacarrier data file rda Bibliography Wiley handbooks in financial engineering and econometrics Includes bibliographical references and index. Volatility models -- Nonlinear models for autoregressive conditional heteroskedasticity -- Mixture and regime-switching GARCH models -- Forecasting high dimensional covariance matrices -- Mean, volatility, and skewness spillovers in equity markets -- Relating stochastic volatility estimation methods -- Multivariate stochastic volatility models -- Model selection and testing of conditional and stochastic volatility models -- Multiplicative error models -- Locally stationary volatility modeling -- Nonparametric and semiparametric volatility models : specification, estimation, and testing -- Copula-based volatility models -- Realized volatility : theory and applications -- Likelihood-based volatility estimators in the presence of market microstructure noise -- HAR modeling for realized volatility forecasting -- Forecasting volatility with MIDAS -- Jumps -- Nonparametric tests for intraday jumps : impact of periodicity and microstructure noise -- Volatility forecasts evaluation and comparison. "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"-- Provided by publisher. Print version record. Banks and banking Econometric models. Finance Econometric models. GARCH model. Banks and banking Econometric models. BUSINESS & ECONOMICS Finance. Finance Econometric models. Business. BUSINESS & ECONOMICS Finance. bisacsh Banks and banking Econometric models. fast (OCoLC)fst00826918 Finance Econometric models. fast (OCoLC)fst00924377 GARCH model. fast (OCoLC)fst01762275 Electronic books. Bauwens, Luc, 1952- Hafner, Christian. Laurent, Sébastien, 1974- Print version: Handbook of volatility models and their applications. Hoboken, N.J. : Wiley, ©2012 9780470872512 (DLC) 2011044256 (OCoLC)759177354 Wiley handbooks in financial engineering and econometrics. http://onlinelibrary.wiley.com/book/10.1002/9781118272039 Wiley Online Library ddc BK 205806 205806