{"product_id":"volatility-modelling-and-time-series-analysis-von-ioannis-neokosmidis","title":"VOLATILITY MODELLING AND TIME SERIES ANALYSIS","description":"\u003cp\u003eThe entire financial system is based on interaction  between risk and return. Financial researchers and  analysts express the risk as the standard deviation  of returns which is referred as volatility. Since  Engle (1982) impressed the financial community by  introducing the ARCH model, there have been a lot of  extensions of the basic ARCH process. These kind of  nonlinear time series processes consider the  volatility as time varying and estimate it based on  historical data. Based on the univariate and  multivariate representation of those models, we can  explain crucial financial phenomena such as the  leverage effect, contagion and the interaction  between the global stock markets. This book presents  the most applied univariate and multivariate time  series processes and it is identical for portfolio  managers, investors and financial researchers, who  are interesting in return and volatility modelling.  They can find all the basic tools that they need in  order to make research and analyze stock markets,  financial crises, multiple assets for portfolio  optimization, contagion and spillover effects.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783838394619\"\u003e\u003ch3\u003eTheoretical and Empirical Investigation\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783838394619","offer_id":39486532321373,"sku":"9783838394619","price":49.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/bd94edc4-1e14-4442-9bf6-1481110d47bb.jpg?v=1775713273","url":"https:\/\/shop.autorenwelt.de\/en\/products\/volatility-modelling-and-time-series-analysis-von-ioannis-neokosmidis","provider":"Autorenwelt Shop","version":"1.0","type":"link"}