Volatility and Volatility Models with R: Basics, Analysis and Modelling - Softcover

Joshi, Prashant

 
9783659580185: Volatility and Volatility Models with R: Basics, Analysis and Modelling
Softcover
ISBN 10: 365958018X ISBN 13: 9783659580185
Verlag: LAP LAMBERT Academic Publishing, 2014

Inhaltsangabe

One of the most important features of financial assets is the asset price volatility. Understanding volatility and its modelling has been subject matter of great concern for academicians, policy makers and practitioners. The objective of the book is to analyze and capture volatility using ARCH/GARCH classes of models and suggest the best model which explains volatility and its characteristics in a better way. The unique feature of the book is that it uses open source software R to analyse the data set. It implements various functions in R to carry out analysis. The data codes are given in the book. This will help researcher to analyse his/her data set with little bit of modification in the codes. The approach adopted in the book will facilitate any researcher to perform advanced time series data analysis at ease.

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Reseña del editor

One of the most important features of financial assets is the asset price volatility. Understanding volatility and its modelling has been subject matter of great concern for academicians, policy makers and practitioners. The objective of the book is to analyze and capture volatility using ARCH/GARCH classes of models and suggest the best model which explains volatility and its characteristics in a better way. The unique feature of the book is that it uses open source software R to analyse the data set. It implements various functions in R to carry out analysis. The data codes are given in the book. This will help researcher to analyse his/her data set with little bit of modification in the codes. The approach adopted in the book will facilitate any researcher to perform advanced time series data analysis at ease.

Biografía del autor

Prashant Joshi is Professor and Head, Department ofManagement,Uka Tarsadia University. He workedwith Dept. of International Finance,I -ShouUniversity, Taiwan. He has obtained MBA(Fin) &Ph.D.(Economics).He has published several papers innational and international journals and authoredthree books on applications of statistics andeconometrics.

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Verlag
LAP LAMBERT Academic Publishing
Erscheinungsdatum
2014
Sprache
Englisch
ISBN 10 
365958018X
ISBN 13 
9783659580185
Einband
Tapa blanda
Anzahl der Seiten
100
Kontakt zum Hersteller
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Verantwortliche Person
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