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AA / International- internationaal --- 339.40 --- 305.91 --- Vermogenbeheer. financiële analyse (algemeenheden). --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Vermogenbeheer. financiële analyse (algemeenheden) --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles

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This is a thorough exploration of the models and methods of financial econometrics by one of the world's leading financial econometricians and is for students in economics, finance, statistics, mathematics, and engineering who are interested in financial applications. Based on courses taught around the world, the up-to-date content covers developments in econometrics and finance over the last twenty years while ensuring a solid grounding in the fundamental principles of the field. Care has been taken to link theory and application to provide real-world context for students, worked exercises and empirical examples have also been included to make sure complicated concepts are solidly explained and understood.

Quantitative methods (economics) --- Money market. Capital market --- 305.91 --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles

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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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AA / International- internationaal --- 339.40 --- 305.91 --- Vermogenbeheer. financiële analyse (algemeenheden) --- 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