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Essentials of Time Series for Financial Applications (31/05/2018)
Elsevier Academic Press

Essentials of Time Series for Financial Applications - 1st Edition - ISBN: 9780128134092, 9780128134108

Book website


Applications serves as an agile reference for upper level students and practitioners who desire a formal, easy-to-follow introduction to the most important time series methods applied in financial applications (pricing, asset management, quant strategies, and risk management). Real-life data and examples developed with EViews illustrate the links between the formal apparatus and the applications. The examples either directly exploit the tools that EViews makes available or use programs that by employing EViews implement specific topics or techniques. The book balances a formal framework with as few proofs as possible against many examples that support its central ideas. Boxes are used throughout to remind readers of technical aspects and definitions and to present examples in a compact fashion, with full details (workout files) available in an on-line appendix. The more advanced chapters provide discussion sections that refer to more advanced textbooks or detailed proofs.

Key Features
Provides practical, hands-on examples in time-series econometrics
Presents a more application-oriented, less technical book on financial econometrics
Offers rigorous coverage, including technical aspects and references for the proofs, despite being an introduction
Features examples worked out in EViews (9 or higher)
MSc. students in Finance, Quantitative Methods (who specialize in finance), Mathematical Finance, and Engineering. Ph.D. students who need an introductory back-up to applied courses (such as Financial Econometrics graduate courses). Practitioners in derivative pricing, trading, and quantitative strategies. Asset managers, risk managers, and research analysts who focus on forecasting market quantities
Table of Contents
1. Review of Key Concepts and Methods in Econometrics: Regressions Analysis
2. Autoregressive-Moving Average (ARMA) Models and their Practical Applications.
3. Vector Autoregressive Moving Average (VARMA) Models
4. Unit Roots and Cointegration Methods
5. Univariate Single-Factor Stochastic Volatility Models: Autoregressive Conditional Heteroskedasticity(ARCH and GARCH)
6. Multivariate ARCH and GARCH and Dynamic Conditional Correlation Models
7. Multi-Factor Volatility Models: Stochastic Volatility
8. Models with Breaks, Recurrent Regime Switching, and Non-Linearities
9. Markov Switching Models
10. Realized Volatility and Covariance

Last change 30/08/2018

Essentials of Applied Portfolio Management (18/05/2017)
Bocconi University Press and EGEA

Essentials Applied Portfolio_cover


BUY THE BOOK HERE. (or here).

This book offers an essential introduction to modern portfolio theory. The book provides a number of simple, practical examples to allow the reader to apply the theoretical concepts presented in each chapter. A portion of such practical cases are worked out in Excel and made available through the book’s website.

The book takes inspiration from Markowitz’s classical mean-variance, it then proceeds to develop modelling tools of increasing sophistication that eventually take into account the role played by generic risk-averse preferences. The book also explores a few advanced topics: the use of multi-factor asset pricing models and the role of background risks and human capital.

Here an extract from the book: Foreword and Chapter 1.

Here the book's profile: Essentials of Applied Portfolio Management.

Last change 30/08/2018

Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets (01/08/2016)
Palgrave MacMillan Springer

Researchers, policymakers and commentators have long debated the patterns through which adverse shocks in a few markets may quickly spread to a range of apparently disconnected financial markets causing widespread losses and turmoil. This book uses modern linear and non-linear econometric methods to characterize how shocks to the yield of risky fixed income securities, such as sub-prime asset-backed or low-credit rating sovereign bonds, are transmitted to the yields in other markets. These include equity and corporate bond markets as well as relatively risk-free fixed income securities, such as highly rated asset-backed securities and sovereign bonds from core Eurozone countries. The authors analyse and compare the results from linear and non-linear models to identify and assess four distinct contagion channels characterizing both US and European financial markets. These include the correlated information, risk premium, flight-to-liquidity, and flight-to quality channels. The results of this study support the theory that both investors and policy-makers ought to pay special attention to liquidity and commonalities in the perceptions of the probabilities of default, as channels through which financial shocks propagate.

Last change 30/08/2018

Last change 28/08/2018

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