Statistical models for risk management [electronic resource] / John Knight.
Material type:
FilmPublisher number: 1262 | Henry Stewart TalksSeries: Henry Stewart talks. Marketing & management collection. Quantitative financial risk managementPublication details: London : Henry Stewart Talks, 2007.Description: 1 online resource (1 streaming video file (23 min.) : color, sound)Subject(s): Online resources: | Item type | Current library | Home library | Call number | Status | Date due | Barcode |
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Books
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Chinhoyi University of Technology Libraries | Chinhoyi University of Technology Libraries | Available |
Animated audio-visual presentations with synchronized narration.
Title from title frames.
Contents: Definition of Returns: Simple Returns; Log Returns -- Distribution of Returns, Univariate: Normal and Log-normal Distribution; Stylized Facts of Historical Returns; Skewness, Kurtosis, Autocorrelation and Stationarity; ARCH, GARCH and Stochastic Volatility (SV) Models -- Distribution of Returns, Multivariate: Multivariate Normal Distribution; Multivariate GARCH and SV Models; Copulas and Non-linear Dependence.
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