Applied Financial Econometrics: Theory, Method and Applications Maiti Moinak
Applied Financial Econometrics: Theory, Method and Applications Maiti Moinak Chapter 1. - Chapter 2. Scope and Methodology of Econometrics. - Chapter 3. Random Walk Hypothesis: Random Walk Models.…
Specifikacia Applied Financial Econometrics: Theory, Method and Applications Maiti Moinak
Applied Financial Econometrics: Theory, Method and Applications Maiti Moinak
Chapter 1. - Chapter 2. Scope and Methodology of Econometrics.
- Chapter 3. Random Walk Hypothesis: Random Walk Models. Geometric Brownian Motion.
- Chapter 4. Efficient Frontier. - Chapter 5.
Portfolio Optimisation. - Chapter 6. Introduction to Asset Pricing Factor Models: CAPM Multifactor Asset Pricing Models.
- Chapter 7. Risk Analysis: Volatility risk ARCH & GARCH Models Value at Risk Models. - Chapter 8.
Introduction to Fat tails: Fat tails in financial data How to handle fat tails It's implication on investment decision. - Chapter 9. Introduction to Nonlinear Models: Threshold Regression TAR (Discrete) & STAR (Smooth).
- Chapter 10. Introduction to Wavelets: Multi scale Wavelet decomposition; Wavelet Covariance and Correlation; Wavelet Coherence; and Wavelet