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Financial econometrics : problems, models, and methods /
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 de...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Princeton, N.J. :
Princeton University Press,
©2001.
|
| Colección: | Princeton series in finance.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Gourieroux, Christian, |d 1949- | |
| 245 | 1 | 0 | |a Financial econometrics : |b problems, models, and methods / |c Christian Gourieroux, Joann Jasiak. |
| 260 | |a Princeton, N.J. : |b Princeton University Press, |c ©2001. | ||
| 300 | |a 1 online resource (xi, 513 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a Princeton series in finance | |
| 504 | |a Includes bibliographical references (pages 451-476) and index. | ||
| 505 | 0 | |a 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. | |
| 520 | |a 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 developments in the area in recent years in an informative as well as succinct way. Refreshingly, every chapter has a section of two or more examples and a section of empirical literature, offering the reader the opportunity to practice the kind of research going on in the area. This approach helps the. | ||
| 590 | |a JSTOR |b Books at JSTOR Demand Driven Acquisitions (DDA) | ||
| 590 | |a JSTOR |b Books at JSTOR Evidence Based Acquisitions | ||
| 590 | |a JSTOR |b Books at JSTOR All Purchased | ||
| 650 | 0 | |a Econometrics. | |
| 650 | 0 | |a Finance |x Statistical methods. | |
| 650 | 0 | |a Finance |x Mathematical models. | |
| 650 | 6 | |a Économétrie. | |
| 650 | 6 | |a Finances |x Méthodes statistiques. | |
| 650 | 6 | |a Finances |x Modèles mathématiques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Economics |x General. |2 bisacsh | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Reference. |2 bisacsh | |
| 650 | 7 | |a Econometrics. |2 cct | |
| 650 | 7 | |a Finance |x Statistical methods. |2 cct | |
| 650 | 7 | |a Finance |x Mathematical models. |2 cct | |
| 650 | 7 | |a Modèles économétriques. |2 eclas | |
| 650 | 7 | |a Méthodes statistiques. |2 eclas | |
| 650 | 7 | |a Méthodologie. |2 eclas | |
| 650 | 7 | |a Finances. |2 eclas | |
| 650 | 7 | |a Mathématiques financières. |2 eclas | |
| 650 | 7 | |a Risques financiers. |2 eclas | |
| 650 | 7 | |a Econometrics. |2 fast |0 (OCoLC)fst00901574 | |
| 650 | 7 | |a Finance |x Mathematical models. |2 fast |0 (OCoLC)fst00924398 | |
| 650 | 7 | |a Finance |x Statistical methods. |2 fast |0 (OCoLC)fst00924417 | |
| 650 | 1 | 7 | |a Econometrie. |2 gtt |
| 650 | 1 | 7 | |a Financiën. |2 gtt |
| 650 | 1 | 7 | |a Wiskundige modellen. |2 gtt |
| 650 | 1 | 7 | |a Statistische methoden. |2 gtt |
| 650 | 1 | 7 | |a Portfolio-analyse. |2 gtt |
| 700 | 1 | |a Jasiak, Joann, |d 1963- | |
| 776 | 0 | 8 | |i Print version: |a Gourieroux, Christian, 1949- |t Financial econometrics. |d Princeton, N.J. : Princeton University Press, ©2001 |z 0691088721 |w (DLC) 2001036264 |w (OCoLC)47141006 |
| 830 | 0 | |a Princeton series in finance. | |
| 856 | 4 | 0 | |u https://jstor.uam.elogim.com/stable/10.2307/j.ctv9hvt42 |z Texto completo |
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