Handbook of Volatility Models and Their Applications

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Handbook of Volatility Models and Their Applications (Wiley Handbooks in Financial Engineering and Econometrics)Luc Bauwens


(Author), Christian M. Hafner (Author), Sebastien Laurent (Author)


A complete guide to the theory and practice of volatility models in financial engineering
Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency.
Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility:

• Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets
  
• Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities
  
• Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures
  
  

Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.



Product Details

• Hardcover: 568 pages
• Publisher: Wiley; 1 edition (April 17, 2012)
• Language: English
• ISBN-10: 0470872519
• ISBN-13: 978-0470872512
  

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关键词：Applications Application Volatility handbook models Christian research overview practice finance

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