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Author:   Moinak Maiti
Publisher:   Springer Verlag, Singapore
Imprint:   Palgrave Macmillan
Edition:   1st ed. 2021
Weight:   0.420kg
ISBN:  

9789811640650

ISBN 10:   9811640653
Pages:   287
Publication Date:   02 September 2022
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand  
We will order this item for you from a manufactured on demand supplier.

Table of Contents

Chapter 1. Scope and Methodology of Econometrics. - Chapter 2. Random Walk Hypothesis: Random Walk Models. - Chapter 3. 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 Clustering

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Moinak Maiti is Associate Professor in the Department of Finance, National Research University Higher School of Economics, Saint Petersburg, Russia

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