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Value-at-risk forecasting with the ARMA-GARCH family of models

variance with one of GARCH, EGARCH or TARCH processes with up to two lags. The models are estimated on the data from the in-sample period and their;

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Applied Econometrics

performance evaluation tools, with a focus on the 2007-8 global financial crisis period. Static portfolio strategies are assessed using ARMA return;

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Financial Econometrics Using Stata

, univariate GARCH models, multivariate GARCH models, and applications of these models to financial time series. The last two chapters cover risk;

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Bootstrapping Stationary ARMA-GARCH Models

können.;...

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Financial Risk Forecasting

, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts;

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Linear Models and TimeSeries Analysis

, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series;

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Derivatives and Internal Models

continues with this philosophy covering new and more advanced topics including terms structure models, second-order value at risk, time series;

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Quantitative Financial Risk Management

The bulk of this volume deals with the four main aspects of risk management: market risk, credit risk, risk management - in macro-economy;

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Derivatives and Internal Models

continues with this philosophy, covering new and more advanced topics including terms structure models, second-order value at risk, time series;

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Derivatives and Internal Models

continues with this philosophy, covering new and more advanced topics including terms structure models, second-order value at risk, time series;

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Portfolio Risk Analysis

insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical;

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Forecasting Volatility in the Financial Markets

provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have;

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Market Risk Analysis Vol 2

, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The;

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Elements of Financial Risk Management

integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with;

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Forecasting Financial Markets

Today s financial markets are characterised by a large number of participants, with different appetites for risk, different time horizons;

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GARCH Models

such as multivariate models, looks at financial applications, and explores the very validation of the models used. GARCH Models: Structure;

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Time Series Econometrics

of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series;

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An Introduction to Time Series Analysis and Forecasting

Providing a clear explanation of the fundamental theory of time series analysis and forecasting, this book couples theory with applications;

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Statistics and Finance

topics in statistics, such as regression, ARMA and GARCH models, the bootstrap, and nonparametric regression using splines, are introduced as;

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Time Series Algorithms Recipes

This book teaches the practical implementation of various concepts for time series analysis and modeling with Python through problem;

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Market Risk Analysis Four Volume Boxset

Monte Carlo VaR models to increasingly complex portfolios. Starting with simple positions, after a few chapters we apply value-at-risk models to;

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Net Present Value and Risk Modelling for Projects

The Net Present Value (NPV) forecast lies at the heart of the business case on many projects. Martin Hopkinson's guide explains when, why;

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Net Present Value and Risk Modelling for Projects

The Net Present Value (NPV) forecast lies at the heart of the business case on many projects. Martin Hopkinson's guide explains when, why;

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GARCH Models

presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models;

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Understanding Market, Credit And Operational Risk

A step--by--step, real world guide to the use of Value at Risk (VaR) models, this text applies the VaR approach to the measurement;

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Forecasting in Financial and Sports Gambling Markets

A guide to modeling analyses for financial and sports gambling markets, with a focus on major current events Addressing the highly;

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Operational Flood Forecasting, Warning and Response for Multi-Scale Flood Risks in Developing Cities

from the flash flood susceptibility analysis and continually, the vulnerability and an indication of flood risk at watershed scale was obtained;

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