The various chapters begin with a review of literature on the subject. Then, the econometric models used are presented didactically, before a highly original application to real data.
The topics covered include GARCH-type volatility models (asymmetric models, long-memory models, robust estimation) and stochastic volatility models, mixed-frequency models, non-linear threshold models and copulas in a multivariate framework.
These models are often illustrated with information on the stock market, exchange rates and interest rates. Finally, measures to assess the forecasts resulting from these various models are proposed, based on the forecast of the future trajectory or the forecast of the distribution density.
"The book reviews different methods in an educational way with many applications. My fellow author colleagues and friends and I would like to thank our amazing contributors," says Laurent Ferrara.
The book is set to become an essential reference on this crucial subject.
Laurent Ferrara holds a doctorate in applied mathematics from Paris Nord University (2001) and completed his professorial thesis in economic sciences at Paris 1-Panthéon-Sorbonne University in 2007. His academic research focuses on international economics and finance, macroeconomic forecasting, non-linear econometric modelling and cycle analysis. He has published more than 50 articles in international and national academic journals, as well as several chapters and books. He was elected to the Steering Committee of the French Economic Association (AFSA) in May 2020.