Financial econometrics : methods and models /

This book which provides an overview of contemporary topics related to the modelling of financial time series, is set against a backdrop of rapid expansions of interest in both the models themselves and the financial problems to which they are applied.This excellent textbook covers all the major dev...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Wang, Peijie, 1965-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: London ; New York : Routledge, 2003.
Colección:Routledge advanced texts in economics and finance.
Temas:
Finance > Econometric models.
Time-series analysis.
Stochastic processes.
Finances > Modèles économétriques.
Série chronologique.
Processus stochastiques.
BUSINESS & ECONOMICS > Finance.
Finance > Econometric models
Stochastic processes
Time-series analysis
Processos estocasticos.
Econometria.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Half-Title; Title; Copyright; Contents; Detailed contents; List of illustrations; Preface; Acknowledgements; 1 Stochastic processes and financial time series; 2 Unit roots, cointegration and other comovements in time series; 3 Time-varying volatility models
  • GARCH and stochastic volatility; 4 Shock persistence and impulse response analysis; 5 Modelling regime shifts; 6 Present value models and tests for rationality and market efficiency; 7 State space models and the Kalman .lter; 8 Frequency domain analysis of time series; 9 Research tools and sources of information; Subject index

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