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Information effects on inter-day volatility: The Australian stock market - Couverture souple

Natoli, Riccardo

 
9783848435777: Information effects on inter-day volatility: The Australian stock market
Couverture souple
ISBN 10 : 3848435772 ISBN 13 : 9783848435777
Editeur : LAP LAMBERT Academic Publishing, 2014

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

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.

Biographie de l'auteur

Riccardo Natoli: B.A., B.Bus (Hons)., PhD is a Senior Lecturer at the College of Business at Victoria University where he teaches finance and applied statistics.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2014
Langue
anglais
ISBN 10 
3848435772
ISBN 13 
9783848435777
Reliure
Broché
Nombre de pages
84
Coordonnées du fabricant
non disponible
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