Bauwens, Luc 1952- Hafner, Christian. Laurent, Sébastien 1974- text bibliography Electronic books. nju Hoboken, N.J Wiley ©2012 2012 monographic eng

electronic resource

1 online resource (xx, 543 pages) : illustrations. "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"-- 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. edited by Luc Bauwens, Christian Hafner, Sebastien Laurent. Includes bibliographical references and index. 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 Banks and banking Econometric models Finance Econometric models GARCH model HG1601 .H36 2012eb 332.01/5195 Hoboken, N.J. : Wiley, ©2012 (DLC) 2011044256 (OCoLC)759177354 9781118272039 111827203X 9781118271995 1118271998 9781118272053 1118272056 EB00063226 Recorded Books 51DB5767-3152-430D-9FC7-612ECE7110B9 OverDrive, Inc. http://onlinelibrary.wiley.com/book/10.1002/9781118272039 http://onlinelibrary.wiley.com/book/10.1002/9781118272039 N$T 120411 20171115081726.0 ocn785426815 eng