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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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Stochastic processes --- Finance --- Stochastic models --- 332.0151 --- 305.91 --- 305.975 --- AA / International- internationaal --- Models, Stochastic --- Mathematical models --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Monte Carlo methods. Experimenten en resultaten

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Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical

Risk management --- Hedging (Finance) --- -Hedging (Finance) --- Hedging (Finance). --- Financial Economics --- Risk management. --- Options (Finance) --- Speculation --- Financial futures --- Insurance --- Management --- Investment management --- Quantitative methods (economics) --- International financial management --- E-books --- Social Sciences and Humanities. Economics --- Financial Economics. --- AA / International- internationaal --- 305.91 --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Économétrie --- Marché financier --- Risque financier --- Économétrie --- Marché financier

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Harry M Markowitz received the Nobel Prize in Economics in 1990 for his pioneering work in portfolio theory. He also received the von Neumann Prize from the Institute of Management Science and the Operations Research Institute of America in 1989 for his work in portfolio theory, sparse matrices and the SIMSCRIPT computer language. While Dr Markowitz is well-known for his work on portfolio theory, his work on sparse matrices remains an essential part of linear optimization calculations. In addition, he designed and developed SIMSCRIPT - a computer programming language. SIMSCRIPT has been widely

Investment analysis. --- Portfolio management. --- Sparse matrices. --- Analyse financière --- Gestion de portefeuille --- Matrices éparses --- Portfolio management --- -Investment analysis --- -Sparse matrices --- -330.9 --- Spare matrix techniques --- Matrices --- Analysis of investments --- Analysis of securities --- Security analysis --- Investment management --- Investment analysis --- Investments --- Securities --- Electronic information resources --- E-books --- AA / International- internationaal --- 305.91 --- 339.4 --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Vermogensbeheer. Financiële analyse. Verspreiding van de beleggingsrisico's. --- Analyse financière --- Matrices éparses --- Sparse matrices --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Vermogensbeheer. Financiële analyse. Verspreiding van de beleggingsrisico's

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Asset allocation --- Asset-liability management --- 332.632044 --- 305.91 --- 339.40 --- AA / International- internationaal --- Asset-liability management (Banking) --- Funds management --- Financial institutions --- Allocation of assets --- Investments --- Portfolio management --- Mathematical models --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Vermogenbeheer. financiële analyse (algemeenheden). --- Management --- Investment management --- Vermogenbeheer. financiële analyse (algemeenheden)