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Market Models: A Guide to Financial Data Analysis




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Publication Year 2009-11-04

ISBN 9788126523702

ISBN-10 8126523700


Number of Pages 516 Pages
Language English

This new book provides numerous real world examples to illustrate concepts in an accessible manner, the accompanying CD will allow the reader to implement the examples themselves and adapt them for their own purposes. Carol Alexander brings many new insights to the practicalities of volatility and correlation analysis, modelling the market risk of portfolios and statistical models. New models that are based on cointegration, principal component analysis, normal mixture densities, GARCH and many other areas are elegantly and rigorously explained, with an emphasis on concepts that makes this text accessible to a very wide audience. The book is also designed to be self contained, with many technical appendices.

"Financial and economic theory can often be a great guide to model specification, but nevertheless the developer will have many choices about the variables to use and the data on these variables. Model development is as much an art as a science and it is a rare and valuable quality to be able to use a model to its greatest potential. Just as a musician that performs well on the instrument is appreciated, perhaps above the technician that built the instrument. so a practitioner that can "play" a model really well may be valued more than the quant who understands how to build the model but cannot play it!" Carol Alexander. 1999