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Financial econometrics
Autor: Wang Peijie
Rok: 2009
ISBN: 9780203892879
ISBN: 9780415426701
ISBN: 9780415426695
OKCZID: 110670649
Vydání: 2nd ed.
Citace (dle ČSN ISO 690):
WANG, Peijie. Financial econometrics. 2nd ed. London: Routledge, 2009. xv, 320 s. Routledge advanced texts in economics and finance.
Anotace
This book provides an essential toolkit for all students wishing to know more about the modelling and analysis of financial data. Applications of econometric techniques are becoming increasingly common in the world of finance and this second edition of an established text covers the following key themes: - unit roots, cointegration and other developments in the study of time series models - time varying volatility models of the GARCH type and the stochastic volatility approach - analysis of shock persistence and impulse responses - Markov switching and Kalman filtering - spectral analysis - present value relations and rationality - discrete choice models - analysis of truncated and censored samples - panel data analysis. This updated edition includes new chapters which cover limited dependent variables and panel data. It continues to be an essential guide for all graduate and advanced undergraduate students of econometrics and finance.