Volume II: Practical Financial Econometrics provides a detailed understanding of financial econometrics, with applications to asset pricing and fund management as well as to market risk analysis. It covers equity factor models, including a detailed analysis of the Barra model and tracking error, principal component analysis, volatility and correlation, GARCH, cointegration, copulas, Markov switching, quantile regression, discrete choice models, non-linear regression, forecasting and model evaluation. Empirical examples and case studies on the CD-ROM include:
Principal component analysis of yield curves with 60 maturities- Estimation of symmetric and asymmetric, normal and Student t GARCH and EGARCH parameters
- Simulation of normal mixture and Markov switching GARCH returns
- Estimation of Markov switching models (Eviews code)
- GARCH term structure forecasting with volatility targeting
- Cointegration based index tracking and pairs trading models
- Normal, Student t, Gumbel, Clayton, normal mixture copula densities
- Simulation from bivariate distributions defined by various marginals and copulas
- Monte Carlo simulation from quantile distributions
- Copula quantile regression.
