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Information effects on inter-day volatility


Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
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  • Product Description

Risk management is an integral part of financial market management. The dynamic nature of the financial market, and financial variables in particular, is evidenced by the empirical data which demonstrates that financial variables typically have a non-normal distribution. The contention of this book is to demonstrate whether the normality assumption inherent in the value at risk (VaR) measurement leads to flawed risk measurement outcomes. To help determine this, a comparative analysis between the conventional VaR method and a moment corrections method (MCM) was undertaken to assess the information effects of inter-day volatility on selected financial variables. The book then concludes by recommending which of these two approaches is more suited to identifying and thus, controlling for, risk in the financial markets.

Product Specifications
SKU :COC75203
AuthorRiccardo Natoli
Number of Pages84
Publishing Year2014-01-28T00:00:00.000
Edition1 st
Book TypeBusiness & management
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-10-08 00:00:00