Financial Econometrics

<body topmargin="0" leftmargin="0" stylesrc="../_private/template_title.htm" bgcolor="#FFFFFF" link="#333366" vlink="#000000" alink="#000000"> <table border="0" cellspacing="0" width="100%" cellpadding="10" style="border-collapse: collapse" bordercolor="#111111" id="table17"> <tr> <td width="100%" bgcolor="#FFFFCC"> <p class="header_black">Finance: <span class="header_gold">Financial Econometrics</span></td> </tr> </table> <div align="left"> <table border="0" cellspacing="4" style="border-collapse: collapse" bordercolor="#111111" width="100%" cellpadding="0" id="table18"> <tr> <td width="740" bgcolor="#FFFFFF"> <div align="center"> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="468" id="table19"> <tr> <td> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> </div> <div align="center"> <div align="center"> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table20"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap451"> <area href="../titles/rachev_menn_fabozzi_(2005).htm" shape="rect" coords="0, 0, 132, 199"> </map> <img border="0" src="../images/book_rachev_menn_and_fabozzi_(2005).gif" usemap="#FPMap451" width="133" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table21"> <tr> <td width="100%"> <p class="book_title">Fat-Tailed<br> <font size="3">and Skewed Asset Return Distributions</font></td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table22"> <tr> <td width="100%" colspan="5"> <p class="book_details">S. Rachev, C. Menn and F. Fabozzi</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap452"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/star_4.gif" usemap="#FPMap452" width="90" height="16"></td> <td width="25" class="book_details_tags"> <map name="FPMap453"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/tech_3.gif" usemap="#FPMap453" width="90" height="16"></td> <td width="25" class="book_details_tags"> 2005</td> <td width="90%" class="book_details_tags" align="right" valign="top"> <p align="right"><map name="FPMap454"> <area target="_self" href="../titles/rachev_menn_fabozzi_(2005).htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap454" width="90" height="25" ></td> <td class="book_details_tags" align="right" valign="top"> <script language="JavaScript"> function popUp(URL,NAME) { amznwin=window.open(URL,NAME,'location=yes,scrollbars=yes,status=yes,toolbar=yes,resizable=yes,width=380,height=450,screenX=10,screenY=10,top=10,left=10'); amznwin.focus();} document.open(); document.write("<a href=javascript:popUp('http://buybox.amazon.com/exec/obidos/redirect?tag=contingencyanaly&link_code=xsc&creative=23424&camp=2025&path=/dt/assoc/tg/aa/xml/assoc/-/0471718866/contingencyanaly/ref=ac_bb1_,_amazon')><img border=0 src=../images/pointer_amazon.gif alt='Buy from Amazon.com' ></a>"); document.close(); </script> <noscript> <form method="POST" action="http://buybox.amazon.com/o/dt/assoc/handle-buy-box=0471718866"> <input type="hidden" name="asin.0471718866" value="1"> <input type="hidden" name="tag-value" value="contingencyanaly"> <input type="hidden" name="tag_value" value="contingencyanaly"> <input type="image" name="submit.add-to-cart" value="Buy from Amazon.com" border="0" src="../../../titles/src=images/pointer_amazon.gif"> </form></noscript> </td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body"><strong style="font-weight: 400">It has long been recognized that time series of asset returns exhibit positive sample excess kurtosis—they have "fat tails." This means that extreme market moves occur more frequently than would be expected with a normal distribution. In 1963, Benoit Mandelbrot proposed that returns should instead be modeled with stable Paretian distributions</strong> ... <a href="../titles/rachev_menn_fabozzi_(2005).htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <div align="center"> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table23"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap4"> <area href="../titles/taylor_stephen_(2005).htm" shape="rect" coords="0, 0, 134, 199"> </map> <img border="0" src="../images/book_taylor_stephen_(2005).gif" usemap="#FPMap4" width="135" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table24"> <tr> <td width="100%"> <p class="book_title">Asset Price Dynamics, Volatility, and Prediction</td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table25"> <tr> <td width="100%" colspan="5"> <p class="book_details">Stephen J. Taylor</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap460"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/star_5.gif" usemap="#FPMap460" width="90" height="16"></td> <td width="25" class="book_details_tags"> <map name="FPMap461"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/tech_3.gif" usemap="#FPMap461" width="90" height="16"></td> <td width="25" class="book_details_tags"> 2005</td> <td width="90%" class="book_details_tags" align="right" valign="top"> <p align="right"><map name="FPMap462"> <area target="_self" href="../titles/taylor_stephen_(2005).htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap462" width="90" height="25" ></td> <td class="book_details_tags" align="right" valign="top"> <script language="JavaScript"> function popUp(URL,NAME) { amznwin=window.open(URL,NAME,'location=yes,scrollbars=yes,status=yes,toolbar=yes,resizable=yes,width=380,height=450,screenX=10,screenY=10,top=10,left=10'); amznwin.focus();} document.open(); document.write("<a href=javascript:popUp('http://buybox.amazon.com/exec/obidos/redirect?tag=contingencyanaly&link_code=xsc&creative=23424&camp=2025&path=/dt/assoc/tg/aa/xml/assoc/-/0691115370/contingencyanaly/ref=ac_bb1_,_amazon')><img border=0 src=../images/pointer_amazon.gif alt='Buy from Amazon.com' ></a>"); document.close(); </script> <noscript> <form method="POST" action="http://buybox.amazon.com/o/dt/assoc/handle-buy-box=0691115370"> <input type="hidden" name="asin.0691115370" value="1"> <input type="hidden" name="tag-value" value="contingencyanaly"> <input type="hidden" name="tag_value" value="contingencyanaly"> <input type="image" name="submit.add-to-cart" value="Buy from Amazon.com" border="0" src="../../../titles/src=images/pointer_amazon.gif"> </form></noscript> </td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body"><strong style="font-weight: 400">This is a great book for someone—academic or practitioner—who is new to financial time series analysis and needs an accessible introduction. The book is actually a broad ranging survey of topics in financial econometrics. It is much like an updated version of Campbell, Lo and MacKinlay (<a href="../titles/campbell_lo_and_mackinlay.htm">1997</a>) with excellent information on ARCH and stochastic volatility models</strong> ... <a href="../titles/taylor_stephen_(2005).htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <div align="center"> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table26"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap458"> <area href="../titles/bhar_and_hamori_(2005).htm" shape="rect" coords="0, 0, 132, 199"> </map> <img border="0" src="../images/book_bhar_and_hamori_(2005).gif" usemap="#FPMap458" width="133" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table27"> <tr> <td width="100%"> <p class="book_title">Empirical Techniques in Finance</td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table28"> <tr> <td width="100%" colspan="5"> <p class="book_details">Ramaprasad Bhar and Shigeyuki Hamori</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap2"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/star_4.gif" usemap="#FPMap2" width="90" height="16"></td> <td width="25" class="book_details_tags"> <map name="FPMap3"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/tech_4.gif" usemap="#FPMap3" width="90" height="16"></td> <td width="25" class="book_details_tags"> 2005</td> <td width="90%" class="book_details_tags" align="right" valign="top"> <p align="right"><map name="FPMap459"> <area target="_self" href="../titles/bhar_and_hamori_(2005).htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap459" width="90" height="25" ></td> <td class="book_details_tags" align="right" valign="top"> <script language="JavaScript"> function popUp(URL,NAME) { amznwin=window.open(URL,NAME,'location=yes,scrollbars=yes,status=yes,toolbar=yes,resizable=yes,width=380,height=450,screenX=10,screenY=10,top=10,left=10'); amznwin.focus();} document.open(); document.write("<a href=javascript:popUp('http://buybox.amazon.com/exec/obidos/redirect?tag=contingencyanaly&link_code=xsc&creative=23424&camp=2025&path=/dt/assoc/tg/aa/xml/assoc/-/3540251235/contingencyanaly/ref=ac_bb1_,_amazon')><img border=0 src=../images/pointer_amazon.gif alt='Buy from Amazon.com' ></a>"); document.close(); </script> <noscript> <form method="POST" action="http://buybox.amazon.com/o/dt/assoc/handle-buy-box=3540251235"> <input type="hidden" name="asin.3540251235" value="1"> <input type="hidden" name="tag-value" value="contingencyanaly"> <input type="hidden" name="tag_value" value="contingencyanaly"> <input type="image" name="submit.add-to-cart" value="Buy from Amazon.com" border="0" src="../../../titles/src=images/pointer_amazon.gif"> </form></noscript> </td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p align="left" class="body" style="margin-bottom: 6"><strong style="font-weight: 400">This is an excellent book with some serious flaws. I highly recommend it for certain readers. Read on to see if you are one of them.</strong></p> <p align="left" class="body" style="margin-top: 6">The book is a hands-on introduction to financial time series analysis—also called financial econometrics. This is a technical subject, and there are no really good introductions. There are excellent texts for economists on time series analysis, but they cover econometrics without the "financial" ... <a href="../titles/bhar_and_hamori_(2005).htm">Read more</a></p> </td> </tr> </table> </td> </tr> </table> <div align="center"> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table29"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap7"> <area href="../titles/shephard_n_(2005).htm" shape="rect" coords="0, 0, 133, 199"> </map> <img border="0" src="../images/book_shephard_n_(2005).gif" usemap="#FPMap7" width="134" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table30"> <tr> <td width="100%"> <p class="book_title">Stochastic Volatility<br> <font size="3">Selected Readings</font></td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table31"> <tr> <td width="100%" colspan="5"> <p class="book_details">Neil Shephard</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap5"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/star_6.gif" usemap="#FPMap5" width="90" height="16"></td> <td width="25" class="book_details_tags"> <map name="FPMap6"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/tech_5.gif" usemap="#FPMap6" width="90" height="16"></td> <td width="25" class="book_details_tags"> 2005</td> <td width="90%" class="book_details_tags" align="right" valign="top"> <p align="right"><map name="FPMap450"> <area target="_self" href="../titles/shephard_n_(2005).htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap450" width="90" height="25" ></td> <td class="book_details_tags" align="right" valign="top"> <script language="JavaScript"> function popUp(URL,NAME) { amznwin=window.open(URL,NAME,'location=yes,scrollbars=yes,status=yes,toolbar=yes,resizable=yes,width=380,height=450,screenX=10,screenY=10,top=10,left=10'); amznwin.focus();} document.open(); document.write("<a href=javascript:popUp('http://buybox.amazon.com/exec/obidos/redirect?tag=contingencyanaly&link_code=xsc&creative=23424&camp=2025&path=/dt/assoc/tg/aa/xml/assoc/-/0199257205/contingencyanaly/ref=ac_bb1_,_amazon')><img border=0 src=../images/pointer_amazon.gif alt='Buy from Amazon.com' ></a>"); document.close(); </script> <noscript> <form method="POST" action="http://buybox.amazon.com/o/dt/assoc/handle-buy-box=0199257205"> <input type="hidden" name="asin.0199257205" value="1"> <input type="hidden" name="tag-value" value="contingencyanaly"> <input type="hidden" name="tag_value" value="contingencyanaly"> <input type="image" name="submit.add-to-cart" value="Buy from Amazon.com" border="0" src="../../../titles/src=images/pointer_amazon.gif"> </form></noscript> </td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body"><strong style="font-weight: 400">This edited collection of seminal research papers on stochastic volatility models is a cute idea. To place it in context, you need a little background. Back in 1995, ARCH/GARCH models were sweeping Wall Street. They were a hot topic in econometrics research, and their discoverer, Robert Engle, edited a <a href="../titles/engle_r_(1995).htm">collection</a> of seminal papers on the topic</strong> ... <a href="../titles/shephard_n_(2005).htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> </div> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table32"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap32"> <area href="../titles/knight_and_satchell_(2002).htm" shape="rect" coords="0, 0, 139, 199"> </map> <img border="0" src="../images/book_knight_satchell_(2002).jpg" usemap="#FPMap32" width="140" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table33"> <tr> <td width="100%"> <p class="book_title">Forecasting Volatility<br> <font size="3">in the Financial Markets</font></td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table34"> <tr> <td width="100%" colspan="5"> <p class="book_details">John Knight and Stephen Satchell (Eds.)</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap30"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/star_5.gif" usemap="#FPMap30" width="90" height="16"></td> <td width="25" class="book_details_tags"> <map name="FPMap31"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map><img border="0" src="../images/tech_4.gif" usemap="#FPMap31" width="90" height="16"></td> <td width="25" class="book_details_tags"> 2002</td> <td width="90%" class="book_details_tags" align="right" valign="top"> <p align="right"><map name="FPMap343"> <area target="_self" href="../titles/knight_and_satchell_(2002).htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap343" width="90" height="25" ></td> <td class="book_details_tags" align="right" valign="top"> <script language="JavaScript"> function popUp(URL,NAME) { amznwin=window.open(URL,NAME,'location=yes,scrollbars=yes,status=yes,toolbar=yes,resizable=yes,width=380,height=450,screenX=10,screenY=10,top=10,left=10'); amznwin.focus();} document.open(); document.write("<a href=javascript:popUp('http://buybox.amazon.com/exec/obidos/redirect?tag=contingencyanaly&link_code=xsc&creative=23424&camp=2025&path=/dt/assoc/tg/aa/xml/assoc/-/0750655151/contingencyanaly/ref=ac_bb1_,_amazon')><img border=0 src=../images/pointer_amazon.gif alt='Buy from Amazon.com' ></a>"); document.close(); </script> <noscript> <form method="POST" action="http://buybox.amazon.com/o/dt/assoc/handle-buy-box=0750655151"> <input type="hidden" name="asin.0750655151" value="1"> <input type="hidden" name="tag-value" value="contingencyanaly"> <input type="hidden" name="tag_value" value="contingencyanaly"> <input type="image" name="submit.add-to-cart" value="Buy from Amazon.com" border="0" src="src=images/pointer_amazon.gif"> </form></noscript> </td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body"><strong style="font-weight: 400">For researchers or financial engineers, Knight and Satchell offer an edited collection of 15 articles on financial econometrics</strong> ... <a href="../titles/knight_and_satchell_(2002).htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <div align="center"> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table35"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap344"> <area href="../titles/gourieroux_and_jasiak_(2001).htm" shape="rect" coords="0, 0, 131, 199"> </map> <img border="0" src="../images/book_gourieroux_and_jasiak_(2001).gif" usemap="#FPMap344" width="132" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table36"> <tr> <td width="100%"> <p class="book_title">Financial Econometrics<br> <font size="3">Problems, Models, and Methods</font></td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table37"> <tr> <td width="100%" colspan="5"> <p class="book_details">Christia Gourieroux and Joann Jasiak</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap345"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/star_4.gif" usemap="#FPMap345" width="90" height="16"></td> <td width="25" class="book_details_tags"> <map name="FPMap346"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/tech_4.gif" usemap="#FPMap346" width="90" height="16"></td> <td width="25" class="book_details_tags"> 2001</td> <td width="90%" class="book_details_tags" align="right" valign="top"> <p align="right"><map name="FPMap347"> <area target="_self" href="../titles/gourieroux_and_jasiak_(2001).htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap347" width="90" height="25" ></td> <td class="book_details_tags" align="right" valign="top"> <script language="JavaScript"> function popUp(URL,NAME) { amznwin=window.open(URL,NAME,'location=yes,scrollbars=yes,status=yes,toolbar=yes,resizable=yes,width=380,height=450,screenX=10,screenY=10,top=10,left=10'); amznwin.focus();} document.open(); document.write("<a href=javascript:popUp('http://buybox.amazon.com/exec/obidos/redirect?tag=contingencyanaly&link_code=xsc&creative=23424&camp=2025&path=/dt/assoc/tg/aa/xml/assoc/-/0691088721/contingencyanaly/ref=ac_bb1_,_amazon')><img border=0 src=../images/pointer_amazon.gif alt='Buy from Amazon.com' ></a>"); document.close(); </script> <noscript> <form method="POST" action="http://buybox.amazon.com/o/dt/assoc/handle-buy-box=0691088721"> <input type="hidden" name="asin.0691088721" value="1"> <input type="hidden" name="tag-value" value="contingencyanaly"> <input type="hidden" name="tag_value" value="contingencyanaly"> <input type="image" name="submit.add-to-cart" value="Buy from Amazon.com" border="0" src="src=images/pointer_amazon.gif"> </form></noscript> </td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body"><strong style="font-weight: 400">Financial econometrics is the adaptation of statistical and time series methods originally pioneered for economics (the field of econometrics) to financial applications. It is largely an academic—as opposed to practitioner—field, with applications found in studies of market efficiency, enhanced capital asset pricing models, and studies of market microstructure</strong> ... <a href="../titles/gourieroux_and_jasiak_(2001).htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <div align="center"> <div align="center"> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table38"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap33"> <area href="../titles/alexander_c_(2001).htm" shape="rect" coords="0, 0, 152, 199"> </map> <img border="0" src="../images/book_alexander_(2001).gif" usemap="#FPMap33" width="153" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table39"> <tr> <td width="100%"> <p class="book_title">Market Models<br> <font size="3">A Guide to Financial Data Analysis</font></td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table40"> <tr> <td width="100%" colspan="5"> <p class="book_details">Carol Alexander</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap289"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map><img border="0" src="../images/star_4.gif" usemap="#FPMap289" width="90" height="16"></td> <td width="25" class="book_details_tags"> <map name="FPMap290"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/tech_3.gif" usemap="#FPMap290" width="90" height="16"></td> <td width="25" class="book_details_tags"> 2001</td> <td width="90%" class="book_details_tags" align="right" valign="top"> <p align="right"><map name="FPMap291"> <area target="_self" href="../titles/alexander_c_(2001).htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap291" width="90" height="25" ></td> <td class="book_details_tags" align="right" valign="top"> <script language="JavaScript"> function popUp(URL,NAME) { amznwin=window.open(URL,NAME,'location=yes,scrollbars=yes,status=yes,toolbar=yes,resizable=yes,width=380,height=450,screenX=10,screenY=10,top=10,left=10'); amznwin.focus();} document.open(); document.write("<a href=javascript:popUp('http://buybox.amazon.com/exec/obidos/redirect?tag=contingencyanaly&link_code=xsc&creative=23424&camp=2025&path=/dt/assoc/tg/aa/xml/assoc/-/0471899755/contingencyanaly/ref=ac_bb1_,_amazon')><img border=0 src=../images/pointer_amazon.gif alt='Buy from Amazon.com' ></a>"); document.close(); </script> <noscript> <form method="POST" action="http://buybox.amazon.com/o/dt/assoc/handle-buy-box=0471899755"> <input type="hidden" name="asin.0471899755" value="1"> <input type="hidden" name="tag-value" value="contingencyanaly"> <input type="hidden" name="tag_value" value="contingencyanaly"> <input type="image" name="submit.add-to-cart" value="Buy from Amazon.com" border="0" src="src=images/pointer_amazon.gif"> </form></noscript> </td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body"><strong style="font-weight: 400">Alexander's </strong><strong>Market Models</strong><strong style="font-weight: 400"> is a practitioner-oriented text on various aspects of, and applications for, volatility and correlation modeling in financial markets. The book is divided into three parts</strong> ... <a href="../titles/alexander_c_(2001).htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <div align="center"> <div align="center"> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table41"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap242"> <area href="../titles/mills_terence_1999.htm" shape="rect" coords="0, 0, 131, 199"> </map> <img border="0" src="../images/book_mills_t_(1999).gif" usemap="#FPMap242" width="132" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table42"> <tr> <td width="100%"> <p class="book_title">The Econometric Modelling of Financial Time Series</td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table43"> <tr> <td width="100%" colspan="5"> <p class="book_details">Terence Mills</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap241"> <area target="_self" href="http://www.riskbook.com/main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/star_5.gif" usemap="#FPMap241" width="90" height="16"></td> <td width="25" class="book_details_tags"> <map name="FPMap183"> <area target="_self" href="http://www.riskbook.com/main/ratings.htm" shape="rect" coords="0, 1, 89, 15"> </map><img border="0" src="../images/tech_4.gif" usemap="#FPMap183" width="90" height="16"></td> <td width="25" class="book_details_tags"> 1999</td> <td width="90%" class="book_details_tags" align="right" valign="top"> <p align="right"><map name="FPMap449"> <area target="_self" href="../titles/mills_terence_1999.htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap449" width="90" height="25" ></td> <td width="90%" class="book_details_tags" align="right" valign="top"> <script language="JavaScript"> function popUp(URL,NAME) { amznwin=window.open(URL,NAME,'location=yes,scrollbars=yes,status=yes,toolbar=yes,resizable=yes,width=380,height=450,screenX=10,screenY=10,top=10,left=10'); amznwin.focus();} document.open(); document.write("<a href=javascript:popUp('http://buybox.amazon.com/exec/obidos/redirect?tag=contingencyanaly&link_code=xsc&creative=23424&camp=2025&path=/dt/assoc/tg/aa/xml/assoc/-/0521624924/contingencyanaly/ref=ac_bb1_,_amazon')><img border=0 src=../images/pointer_amazon.gif alt='Buy from Amazon.com' ></a>"); document.close(); </script> <noscript> <form method="POST" action="http://buybox.amazon.com/o/dt/assoc/handle-buy-box=0521624924"> <input type="hidden" name="asin.0521624924" value="1"> <input type="hidden" name="tag-value" value="contingencyanaly"> <input type="hidden" name="tag_value" value="contingencyanaly"> <input type="image" name="submit.add-to-cart" value="Buy from Amazon.com" border="0" src="../../../pending/src=images/pointer_amazon.gif"> </form></noscript> </td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body"><strong style="font-weight: 400">Now in its second edition, this is an excellent intermediate-level text on time series analysis for financial markets. Targeted to academics or theoretically inclined practitioners, the book offers a scholarly discussion of topics relevant to financial markets</strong> ... <a href="../titles/mills_terence_1999.htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table44"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap340"> <area href="../titles/campbell_lo_and_mackinlay.htm" shape="rect" coords="0, 0, 131, 201"> </map> <img src="../images/book_campbell.gif" alt="book_campbell.gif (9963 bytes)" border="0" usemap="#FPMap340" width="132" height="202"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table45"> <tr> <td width="100%"> <p class="book_title">The Econometrics of Financial Markets</td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table46"> <tr> <td width="100%" colspan="5"> <p class="book_details">John Campbell, Andrew Lo, Archie MacKinlay</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap448"> <area target="_self" coords="2, 1, 89, 15" shape="rect" href="http://www.riskbook.com/main/ratings.htm"> </map><img border="0" src="../images/star_6.gif" usemap="#FPMap448" width="90" height="16"></td> <td width="25" class="book_details_tags"> <map name="FPMap58"> <area href="../main/ratings.htm" shape="rect" coords="2, 0, 89, 15"> </map><img border="0" src="../images/tech_3.gif" usemap="#FPMap58" width="90" height="16"></td> <td width="25" class="book_details_tags"> 1997</td> <td width="90%" class="book_details_tags" align="right" valign="top"> <p align="right"><map name="FPMap341"> <area target="_self" href="../titles/campbell_lo_and_mackinlay.htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap341" width="90" height="25" ></td> <td class="book_details_tags" align="right" valign="top"> <script language="JavaScript"> function popUp(URL,NAME) { amznwin=window.open(URL,NAME,'location=yes,scrollbars=yes,status=yes,toolbar=yes,resizable=yes,width=380,height=450,screenX=10,screenY=10,top=10,left=10'); amznwin.focus();} document.open(); document.write("<a href=javascript:popUp('http://buybox.amazon.com/exec/obidos/redirect?tag=contingencyanaly&link_code=xsc&creative=23424&camp=2025&path=/dt/assoc/tg/aa/xml/assoc/-/0691043019/contingencyanaly/ref=ac_bb1_,_amazon')><img border=0 src=../images/pointer_amazon.gif alt='Buy from Amazon.com' ></a>"); document.close(); </script> <noscript> <form method="POST" action="http://buybox.amazon.com/o/dt/assoc/handle-buy-box=0691043019"> <input type="hidden" name="asin.0691043019" value="1"> <input type="hidden" name="tag-value" value="contingencyanaly"> <input type="hidden" name="tag_value" value="contingencyanaly"> <input type="image" name="submit.add-to-cart" value="Buy from Amazon.com" border="0" src="src=images/pointer_amazon.gif"> </form></noscript> </td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body">Three recognized scholars have written an exceptional book that uses advanced econometric techniques to explore the behavior of markets. Starting with the traditional questions of market efficiency and random walks, the book takes us on a fascinating exploration of market microstructures, event-study analysis, non-synchronous trading and intertemporal equilibrium models ... <a href="../titles/campbell_lo_and_mackinlay.htm">Read more</a></td> </tr> </table> </td> </tr> </table> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table47"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap280"> <area href="../titles/gourieroux_c_(1997).htm" shape="rect" coords="0, 0, 132, 199"> </map> <img border="0" src="../images/book_gourieroux.gif" usemap="#FPMap280" width="133" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table48"> <tr> <td width="100%"> <p class="book_title">ARCH Models and Financial Applications</td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table49"> <tr> <td width="100%" colspan="5"> <p class="book_details">Christian Gourieroux</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap281"> <area href="../main/ratings.htm" shape="rect" coords="1, 2, 89, 15"></map> <img border="0" src="../images/star_4.gif" usemap="#FPMap281" width="90" height="16"></td> <td width="25" class="book_details_tags"> <map name="FPMap282"> <area coords="1, 0, 89, 15" shape="rect" href="../main/ratings.htm"> </map><img border="0" src="../images/tech_5.gif" usemap="#FPMap282" width="90" height="16"></td> <td width="25" class="book_details_tags"> 1997</td> <td width="90%" class="book_details_tags" align="right" valign="top"> <p align="right"><map name="FPMap283"> <area target="_self" href="../titles/gourieroux_c_(1997).htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap283" width="90" height="25" ></td> <td class="book_details_tags" align="right" valign="top"> <script language="JavaScript"> function popUp(URL,NAME) { amznwin=window.open(URL,NAME,'location=yes,scrollbars=yes,status=yes,toolbar=yes,resizable=yes,width=380,height=450,screenX=10,screenY=10,top=10,left=10'); amznwin.focus();} document.open(); document.write("<a href=javascript:popUp('http://buybox.amazon.com/exec/obidos/redirect?tag=contingencyanaly&link_code=xsc&creative=23424&camp=2025&path=/dt/assoc/tg/aa/xml/assoc/-/0387948767/contingencyanaly/ref=ac_bb1_,_amazon')><img border=0 src=../images/pointer_amazon.gif alt='Buy from Amazon.com' ></a>"); document.close(); </script> </td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body">Gourieroux offers a nice balance of time series analysis and financial theory in this book on ARCH modeling in finance. Readers should be comfortable with time series analysis at the level of ... <a href="../titles/gourieroux_c_(1997).htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table50"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap284"> <area href="../titles/engle_r_(1995).htm" shape="rect" coords="0, 0, 129, 199"> </map> <img src="../images/book_engle.gif" alt="book_engle.gif (5051 bytes)" border="0" usemap="#FPMap284" width="130" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table51"> <tr> <td width="100%"> <p class="book_title">ARCH: Selected Readings</td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table52"> <tr> <td width="100%" colspan="5"> <p class="book_details">Robert F. Engle (Ed.)</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap285"> <area href="../main/ratings.htm" shape="rect" coords="1, 2, 89, 15"></map> <img border="0" src="../images/star_4.gif" usemap="#FPMap285" width="90" height="16"></td> <td width="25" class="book_details_tags"> <map name="FPMap286"> <area coords="1, 0, 89, 15" shape="rect" href="../main/ratings.htm"> </map><img border="0" src="../images/tech_5.gif" usemap="#FPMap286" width="90" height="16"></td> <td width="25" class="book_details_tags"> 1995</td> <td width="90%" class="book_details_tags" align="right" valign="top"> <p align="right"><map name="FPMap287"> <area target="_self" href="../titles/engle_r_(1995).htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap287" width="90" height="25" ></td> <td class="book_details_tags" align="right" valign="top"> <script language="JavaScript"> function popUp(URL,NAME) { amznwin=window.open(URL,NAME,'location=yes,scrollbars=yes,status=yes,toolbar=yes,resizable=yes,width=380,height=450,screenX=10,screenY=10,top=10,left=10'); amznwin.focus();} document.open(); document.write("<a href=javascript:popUp('http://buybox.amazon.com/exec/obidos/redirect?tag=contingencyanaly&link_code=xsc&creative=23424&camp=2025&path=/dt/assoc/tg/aa/xml/assoc/-/019877432X/contingencyanaly/ref=ac_bb1_,_amazon')><img border=0 src=../images/pointer_amazon.gif alt='Buy from Amazon.com' ></a>"); document.close(); </script> <noscript> <form method="POST" action="http://buybox.amazon.com/o/dt/assoc/handle-buy-box=019877432X"> <input type="hidden" name="asin.019877432X" value="1"> <input type="hidden" name="tag-value" value="contingencyanaly"> <input type="hidden" name="tag_value" value="contingencyanaly"> <input type="image" name="submit.add-to-cart" value="Buy from Amazon.com" border="0" src="src=images/pointer_amazon.gif"> </form></noscript> </td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body">Robert Engle published the pioneering paper in ARCH in <i> Econometrica</i> in 1982. Since then, the field has grown explosively. Numerous papers have been written. Related models, including GARCH and EGARCH have been proposed. The methodologies have been implemented extensively in derivatives trading and risk management ... <a href="../titles/engle_r_(1995).htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <div align="center"> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="468" id="table53"> <tr> <td> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> </div> </td> <td bgcolor="#FFFFFF">  </td> </tr> </table> </div> <div align="center"> <center> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table54"> <tr> <td width="50%" bgcolor="#FFFFCC" align="center"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td><td width="50%" bgcolor="#CCCCFF" align="center"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" id="table55"> <tr> <td> <p class="body" style="margin-bottom: 6; margin-left:5; margin-top:5"><b> <font color="#333366" size="3">For related books, also see sections:</font></b></p> <p class="bullet_line_space" style="margin-left: 5"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/math_time_series.htm">Mathematics - Time Series Analysis</a></p> <p class="bullet" style="margin-left: 5; margin-top:5"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/finance_general.htm">Finance - General</a></p> <p class="bullet" style="margin-left: 5; margin-top:5"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/finance_portfolio_theory.htm">Finance - Portfolio Theory</a></p> <p class="bullet" style="margin-left: 5; margin-top:5"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/math_financial_math.htm">Mathematics - Financial Math</a></p> </td> </tr> </table> </td> </tr> </table> <table border="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" cellpadding="10" bgcolor="#FFFFCC" id="table56"> <tr> <td width="100%">  <table border="0" style="border-collapse: collapse" width="100%" cellpadding="0" id="table1" bgcolor="#FFFFFF"> <tr> <td colspan="2" height="12"> <p style="margin-top: 0"> </td> </tr> <tr> <td align="right"> <p align="left" style="margin-bottom: 2px"> <a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Ads by Contingency Analysis.</font></a></td> <td align="left"> <p align="right" style="margin-bottom: 2px"> <a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Advertise on this site.</font></a></td> </tr> <tr> <td align="center" colspan="2">  <iframe src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=iframe" allowtransparency="true" background-color="transparent" style="margin: 0px; padding: 0px; border-width: 0px" width="300" height="250" frameborder="0" marginwidth="0" marginheight="0" scrolling="no"> <![if lt IE 4]> <script src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=js" type="text/javascript"> </script> <noscript> <a href="http://servedbyadbutler.com/go2/;ID=147917;size=300x250;setID=93136"> <img src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=img" border="0" height="250" width="300" alt=""></a> </noscript><![endif]> </iframe>   </td> </tr> </table> <p align="center" style="margin-top: 20"> <map name="FPMap0_I1"> <area href="http://www.riskbook.com" shape="rect" coords="0, 0, 184, 29" target="_top"></map> <img border="0" src="../images/open_book_riskbook.gif" usemap="#FPMap0_I1" width="185" height="30"></p> <p class="a" align="center"><font face="Arial" size="2"><a href="../main/disclaimer.htm">disclaimer</a></font></p> <p class="a" align="center"><span class="verdana10">website:</span> <a target="_top" href="http://www.contingencyanalysis.com"> <font size="2" face="Arial">http://www.contingencyanalysis.com</font></a><br> <span class="verdana10">books direct link:</span> <a target="_top" href="http://www.riskbook.com"><font size="2" face="Arial">http://www.riskbook.com</font></a><br> copyright <font face="Times New Roman">©</font> Contingency Analysis, 1996 - current</p> <p class="a" align="center"><map name="FPMap1_I1"> <area target="_top" href="http://www.contingencyanalysis.com" shape="rect" coords="0, 0, 240, 88"> </map><img border="0" src="../images/logo_book_white.gif" usemap="#FPMap1_I1" width="241" height="89"></p> </td> </tr> </table> </center> </div> </body>