by Carol Alexander
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Product Description
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 example is given, and whenever possible this is illustrated with an Excel spreadsheet.
All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: -
Factor analysis with orthogonal regressions and using principal component factors; -
Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; -
Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; -
Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; -
Simulation of normal mixture and Markov switching GARCH returns; -
Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; -
Markov switching regression models (Eviews code); -
GARCH term structure forecasting with volatility targeting; -
Non-linear quantile regressions with applications to hedging.
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Average Customer Review:
1 of 1 people found the following review helpful:
excellent book , 2008-11-22
practical financial econometrics is a very useful book for all connected with the field of finance.
It is a real treasure. The description in the book is very practical. It successfully addresses and accommodates the issues that researcher encounters.
The efforts of the author for crafting such a master piece is highly appreciable.The book offers much more via discussion forum as well. It is really wonderful and creative idea to remain connected with the world's greatest authority in the field of risk management through the websites. I think these website have been adding the life in the book and make it an alive entity.
Great work by the author.
3 of 4 people found the following review helpful:
Another great book by a leader in risk management, 2008-10-06
Like her previous book "Market Models", this book is very well written, clearly explained, and very complete. I like her style of writing because it's precise, intuitive, and goes straight to the point. Carol Alexander is a seasoned professional, and that is certainly reflected in this book. I like it a lot and recommend it highly.
5 of 11 people found the following review helpful:
Fabulous resource, 2008-08-25
This book is a "must have" for financial analysts. Carol Alexander is one of the best technical finance writers around, and has the ability to convey complex concepts in a way that practitioners can understand.
I particularly like the chapters on GARCH and copulas. She includes loads of examples that bring the subject matter to life.
5 of 10 people found the following review helpful:
A great insight for both students and practitioners, 2008-08-18
Carol writes both cogently and accessibly on financial mathematics here, covering a very broad area of topics in an easily intelligible manner - a welcome break from some of the drier mathematical texts. It definitely merits space on your desk if you're a practitioner or student - however small your desk is!
7 of 10 people found the following review helpful:
Dont miss it!, 2008-08-18
Just one hint, from somebody who learned a lot from Carol - if somebody with her experience decides to invest 5 years in sharing their understanding of the world of finance, I wouldn't miss the chance to read it! The scope of the book is unparalleled, and it doesn't come at the expense of thoroughness and clarity. And what you wouldn't get from four other books on those topics, is a unified, consolidated, approach to analysing and understanding areas which traditionally have been seen in isolation. I don't need to mention what difference it makes in practice, once you have the details, to be able to take one step back and see the bigger picture.
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