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Financial econometrics modeling

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Financial econometrics modelingedited by Greg N. Gregoriou, Razvan Pascalau.
其他作者:	Gregoriou, Greg N.,
出版者:	Basingstoke :Palgrave Macmillan,2011.
面頁冊數:	1 v. ;22 cm.
標題:	Econometrics.
電子資源:	An electronic book accessible through the World Wide Web; click for information
ISBN:	9780230295209 (electronic bk.)

Financial econometrics modeling
Financial econometrics modeling[electronic resource] /edited by Greg N. Gregoriou, Razvan Pascalau. - Basingstoke :Palgrave Macmillan,2011. - 1 v. ;22 cm.

The Operation of Hedge Funds - Econometric Evidence, Dynamic Modeling and Regulatory Tasks / W.Semmler & R.Chappe -- Inferring Risk-Averse Probability Distributions from Option Prices using Implied Binomial Trees / T.Arnold, T.Falcon Crack & A.Schwartz -- Pricing the Derivatives of Derivatives using Toxic Assets as an Example / C.V.Currie -- A General Efficient Framework For Pricing Options Using Exponential Time Integration Schemes / M.Bhuruth, R.Boojhawon, A.Gopaul & Y.Desire Tangman -- GARCH / R.Pascalau, C.Thomann & G.N.Gregoriou -- Essays in Nonlinear Financial Integration Modeling: The Philippine Stock Market Case / M.El-Hedi Arouri & F.Jawadi -- Latent Factors of the Term Structure: a Macroeconomic Interpretation of Curvature / M.Modena -- The Econometrics of Testing for Efficiency in the Financial Markets / A.Hughes Hallett & C.Richter -- Interest Rate Models: Continuous and Discrete Time / C.-Y. Hsiao & W.Semmler -- Does the Expectations Hypothesis Hold in Emerging Markets? An Application to the Middle East Treasury Securities / S.Hakim & S.Neave.

This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, the book considers new models for hedge funds and derivatives of derivatives, shows how to use option prices to infer about risk-averse probability distributions, and adds to the literature of testing for the efficiency of markets both theoretically and empirically. The empirical applications concern examples to both developed and emerging financial markets. In addition, the book proposes a new general efficient framework for pricing options using time integration schemes and highlights nonlinear financial integration modeling. Finally, the book provides a macroeconomic interpretation of the curvature using latent factors of the term structure.

Electronic reproduction.
Basingstoke, England :
Palgrave Macmillan,
2011.

Mode of access: World Wide Web.

ISBN: 9780230295209 (electronic bk.)

Source: 484461Palgrave Macmillanhttp://www.palgraveconnect.comSubjects--Topical Terms:

182271
Econometrics.
Index Terms--Genre/Form:

214472
Electronic books.

LC Class. No.: HB139 / .F56 2011

Dewey Class. No.: 332.015195

Financial econometrics modeling
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245 0 0 $a Financial econometrics modeling $h [electronic resource] / $c edited by Greg N. Gregoriou, Razvan Pascalau.
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300 $a 1 v. ; $c 22 cm.
505 0 $a The Operation of Hedge Funds - Econometric Evidence, Dynamic Modeling and Regulatory Tasks / W.Semmler & R.Chappe -- Inferring Risk-Averse Probability Distributions from Option Prices using Implied Binomial Trees / T.Arnold, T.Falcon Crack & A.Schwartz -- Pricing the Derivatives of Derivatives using Toxic Assets as an Example / C.V.Currie -- A General Efficient Framework For Pricing Options Using Exponential Time Integration Schemes / M.Bhuruth, R.Boojhawon, A.Gopaul & Y.Desire Tangman -- GARCH / R.Pascalau, C.Thomann & G.N.Gregoriou -- Essays in Nonlinear Financial Integration Modeling: The Philippine Stock Market Case / M.El-Hedi Arouri & F.Jawadi -- Latent Factors of the Term Structure: a Macroeconomic Interpretation of Curvature / M.Modena -- The Econometrics of Testing for Efficiency in the Financial Markets / A.Hughes Hallett & C.Richter -- Interest Rate Models: Continuous and Discrete Time / C.-Y. Hsiao & W.Semmler -- Does the Expectations Hypothesis Hold in Emerging Markets? An Application to the Middle East Treasury Securities / S.Hakim & S.Neave.
520 $a This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, the book considers new models for hedge funds and derivatives of derivatives, shows how to use option prices to infer about risk-averse probability distributions, and adds to the literature of testing for the efficiency of markets both theoretically and empirically. The empirical applications concern examples to both developed and emerging financial markets. In addition, the book proposes a new general efficient framework for pricing options using time integration schemes and highlights nonlinear financial integration modeling. Finally, the book provides a macroeconomic interpretation of the curvature using latent factors of the term structure.
533 $a Electronic reproduction. $b Basingstoke, England : $c Palgrave Macmillan, $d 2011. $n Mode of access: World Wide Web. $n System requirements: Web browser. $n Title from title screen (viewed on Jan. 6, 2011). $n Access may be restricted to users at subscribing institutions.
650 0 $a Econometrics. $3 182271
650 0 $a Finance $x Mathematical models. $3 183782
650 0 $a Financial risk management $x Mathematical models. $3 290465
655 7 $a Electronic books. $2 local. $3 214472
700 1 $a Gregoriou, Greg N., $d 1956- $3 238940
700 1 $a Pascalau, Razvan. $3 639371
710 2 $a Palgrave Connect (Online service) $3 459825
776 0 8 $i Print version: $t Financial econometrics modeling. $d Basingstoke : Palgrave Macmillan, 2011 $z 9780230283633 $w (OCoLC)694227380
856 4 0 $3 Palgrave Connect $u https://link.springer.com/book/10.1057/9780230295209 $z An electronic book accessible through the World Wide Web; click for information
938 $a YBP Library Services $b YANK $n 3615099
994 $a C0 $b TEF