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Univariate volatility modeling

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  • The focus in this book is on the study of market risk from a quantitative point of view. The emphasis is on presenting commonly used state-of-the-art quantitative techniques used in finance for the management of market risk and demonstrate their use employing the principal two mathematical programming languages, R and Matlab. All the code in the book can be downloaded from the book’s website at www.financialrisk forecasting.com

    pdf298p baobinh1311 25-09-2012 83 36   Download

  • Fornari and Mele (2009) provide a detailed assessment of the out of sample forecasting ability of univariate linear and non linear models which rely on financial indicators. Overall, their conclusion is that the term spread, together with a time-varying measure of stock market volatility, does a rather good job in anticipating the rates of change in the US post-War industrial production index.

    pdf63p bocapchetnguoi 05-12-2012 64 2   Download

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