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Financial econometrics : methods and models / Peijie Wang.

By: Material type: TextTextSeries: Routledge advanced texts in economics and financePublication details: London ; New York : Routledge, 2003.Description: 1 online resource (xiii, 178 pages) : illustrationsContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 0203990730
  • 9780203990735
  • 0415224543
  • 9780415224543
  • 0415224551
  • 9780415224550
  • 1134591128
  • 9781134591121
Subject(s): Additional physical formats: Print version:: Financial econometrics.DDC classification:
  • 332/.01/5195 22
LOC classification:
  • HG106 .W36 2003eb
Other classification:
  • 85.03
  • 85.33
Online resources:
Contents:
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
Summary: 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 he.
Holdings
Item type Current library Collection Call number Status Date due Barcode Item holds
eBook eBook e-Library EBSCO Business Available
Total holds: 0

Includes bibliographical references and indexes.

Print version record.

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

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 he.

English.

Added to collection customer.56279.3

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