Limit search to available items
Book Cover
Book
Author Alexander, Carol.

Title Market models : a guide to financial data analysis / Carol Alexander
Published Chichester, UK ; New York, NY : Wiley, 2001

Copies

Location Call no. Vol. Availability
 WATERFT BUSINESS  332.63222 Ale/Mma  AVAILABLE
 MELB  332.63222 Ale/Mma  UNAVAILABLE C19
 MELB  332.63222 Ale/Mma  UNAVAILABLE C19
Description xx, 494 pages : illustrations ; 26 cm + 1 computer optical disc (4 3/4 in.)
Contents Pt. I. Volatility and Correlation Analysis -- Ch. 1. Understanding Volatility and Correlation -- Ch. 2. Implied Volatility and Correlation -- Ch. 3. Moving Average Models -- Ch. 4. GARCH Models -- Ch. 5. Forecasting Volatility and Correlation -- Pt. II. Modelling the Market Risk of Portfolios -- Ch. 6. Principal Component Analysis -- Ch. 7. Covariance Matrices -- Ch. 8. Risk Measurement in Factor Models -- Ch. 9. Value-at-Risk -- Ch. 10. Modelling Non-normal Returns -- Pt. III. Statistical Models for Financial Markets -- Ch. 11. Time Series Models -- Ch. 12. Cointegration -- Ch. 13. Forecasting High-Frequency Data -- Technical Appendices
Bibliography Includes bibliographical references (pages [453]-465) and index
Subject Stock price forecasting -- Mathematical models.
Portfolio management -- Mathematical models.
LC no. 2001026204
ISBN 0471899755