| Résumé : |
Empirical examples and case studies specific to this volume include:
- Factor analysis with orthogonal regressions and using principal component factors;
- Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters;
- Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization;
- Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management;
- Simulation of normal mixture and Markov switching GARCH returns;
- Cointegration based index tracking and pairs trading, with error correction and impulse response modelling;
- Markov switching regression models (Eviews code);
- GARCH term structure forecasting with volatility targeting;
- Non-linear quantile regressions with applications to hedging. |
Market risk analysis / Chichester (GB) : JOHN WILEY & SONS (2008)
