東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Financial econometrics modeling

Gregoriou, Greg N., (1956-)

Linked to FindBook

Google Book

Amazon

博客來

Financial econometrics modeling

Record Type:	Electronic resources : Monograph/item
Title/Author:	Financial econometrics modeling/ edited by Greg N. Gregoriou, Razvan Pascalau.
other author:	Gregoriou, Greg N.,
Published:	Basingstoke :Palgrave Macmillan, : 2011.,
Description:	1 v. ;22 cm.
[NT 15003449]:	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.
Subject:	Econometrics. -
Online resource:	http://www.palgraveconnect.com/doifinder/10.1057/9780230295209An 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:

542934
Econometrics.
Index Terms--Genre/Form:

542853
Electronic books.

LC Class. No.: HB139 / .F56 2011

Dewey Class. No.: 332.015195

Financial econometrics modeling
LDR:03349cmm 2200325Ka 4500 001 1881954
003 OCoLC
005 20130621114723.0
006 m o d
007 cr cn|||||||||
008 130927s2011 enk o 000 0 eng d
020 $a 9780230295209 (electronic bk.)
020 $a 0230295207 (electronic bk.)
029 1 $a AU@ $b 000046932703
035 $a (OCoLC)696332760
035 $a ocn696332760
037 $a 484461 $b Palgrave Macmillan $n http://www.palgraveconnect.com
040 $a UKPGM $b eng $c UKPGM $d YDXCP $d OCLCA $d OCLCQ
049 $a TEFA
050 4 $a HB139 $b .F56 2011
082 0 4 $a 332.015195 $2 22
245 0 0 $a Financial econometrics modeling $h [electronic resource] / $c edited by Greg N. Gregoriou, Razvan Pascalau.
260 $a Basingstoke : $b Palgrave Macmillan, $c 2011.
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 542934
650 0 $a Finance $x Mathematical models. $3 578740
650 0 $a Financial risk management $x Mathematical models. $3 910589
655 7 $a Electronic books. $2 lcsh $3 542853
700 1 $a Gregoriou, Greg N., $d 1956- $3 763690
700 1 $a Pascalau, Razvan. $3 1973342
710 2 $a Palgrave Connect (Online service) $3 1081578
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 http://www.palgraveconnect.com/doifinder/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