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Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime c

Finance --- Economic forecasting --- Multifractals. --- Econometric models. --- Fractals --- Multifractals --- 305.91 --- AA / International- internationaal --- Econometric models --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles

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Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.

Investment management --- Portfolio management --- -Risk management --- -332.6 --- Insurance --- Management --- Investment analysis --- Investments --- Securities --- Electronic information resources --- E-books --- AA / International- internationaal --- 339.42 --- 305.91 --- Financiële analyse. --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Portfolio management. --- Portfolios. --- Risk management. --- Risk management --- Finance --- Investment & Speculation --- Business & Economics --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Financiële analyse

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The second edition of this authoritative textbook continues the tradition of providing clear and concise descriptions of the new and classic concepts in financial theory. The authors keep the theory accessible by requiring very little mathematical background. First edition published by Prentice-Hall in 2001- ISBN 0130174467.The second edition includes new structure emphasizing the distinction between the equilibrium and the arbitrage perspectives on valuation and pricing, as well as a new chapter on asset management for the long term investor. ""This book does admirably...

AA / International- internationaal --- 305.91 --- 333.600 --- 336.74 --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Financiële markten. Kapitaalmarkten (algemeenheden). --- Geld. Geldwezen. Monetaire sector. --- Finance. --- Finance --- Business & Economics --- Finance - General --- 336.74 Geld. Geldwezen. Monetaire sector. --- Funding --- Funds --- Economics --- Currency question --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Financiële markten. Kapitaalmarkten (algemeenheden) --- Geld. Geldwezen. Monetaire sector

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This introduction to general equilibrium modelling takes an integrated approach to the analysis of macroeconomics and finance. It provides students, practitioners, and policymakers with an easily accessible set of tools that can be used to analyze a wide range of economic phenomena. Key features: • Provides a consistent framework for understanding dynamic economic models • Introduces key concepts in finance in a discrete time setting • Develops simple recursive approach for analyzing a variety of problems in a dynamic, stochastic environment • Sequentially builds up the analysis of consumption, production, and investment models to study their implications for allocations and asset prices • Reviews business cycle analysis and the business cycle implications of monetary and international models • Covers latest research on asset pricing in overlapping generations models and on models with borrowing constraints and transaction costs • Includes end-of-chapter exercises allowing readers to monitor their understanding of each topic Online resources are available at www.cambridge.org/altug_labadie

Pricing --- International finance --- Capital assets pricing model --- AA / International- internationaal --- 305.91 --- 339.40 --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Vermogenbeheer. financiële analyse (algemeenheden). --- Capital asset pricing model --- CAPM (Capital assets pricing model) --- Pricing model, Capital assets --- Capital --- Finance --- Investments --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Vermogenbeheer. financiële analyse (algemeenheden) --- Mathematical models --- Capital assets pricing model. --- Finance. --- Funding --- Funds --- Economics --- Currency question --- Business, Economy and Management

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The first edition of Theory of Valuation is a collection of important papers in the field of theoretical financial economics published from 1973 to 1986, and original accompanying essays contributed by eminent researchers including Robert C Merton, Edward C Prescott, Stephen A Ross, and Joseph E Stiglitz. Since then, with the perspective of major theoretical strides in the field, the book has more than fulfilled its original expectations. The realization that it remains today a compendium of classic articles and a must-read for any serious student in theoretical financial economics, has prompt

AA / International- internationaal --- 305.91 --- 333.630 --- 333.0 --- Finance --- Economics --- Valuation theory --- 332.0157 --- Algebraic number theory --- Topological fields --- Economic theory --- Political economy --- Social sciences --- Economic man --- Funding --- Funds --- Currency question --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Effecten: algemeenheden. --- Financiële economie: algemene werken en handboeken. --- Finance. --- Economics. --- Valuation theory. --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Financiële economie: algemene werken en handboeken --- Effecten: algemeenheden