Financial Econometrics

Wang, Peijie

ISBN 10: 0415426693 / ISBN 13: 9780415426695

Editore: Routledge, 2009

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This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. In poor condition, suitable as a reading copy. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,600grams, ISBN:9780415426695.

Codice articolo 3949361

Dati bibliografici

• Titolo: Financial Econometrics
• Editore: Routledge
• Data di pubblicazione: 2009
• Lingua: Inglese
• ISBN 10: 0415426693
• ISBN 13: 9780415426695
• Rilegatura: Brossura
• Condizione: Poor
• Peso: 600 grammi
• Cataloghi dei venditori:
  • Economics

Descrizione articolo

Riassunto

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.

Informazioni sull?autore

Peijie Wang is Professor of Finance at IÉSEG School of Management, Catholic University of Lille. He is author of An Econometric Analysis of the Real Estate Market (Routledge 2001) and The Economics of Foreign Exchange and Global Finance.