| Document Type
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BL
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| Record Number
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1000010
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| Doc. No
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b754380
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| Main Entry
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Wang, Peijie,1965-
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| Title & Author
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Financial econometrics : : methods and models /\ Peijie Wang.
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| Publication Statement
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London ;New York :: Routledge,, 2003.
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| Series Statement
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Routledge Advanced Texts in Economics and Finance
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| Page. NO
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1 online resource (xiii, 178 pages) :: illustrations
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| ISBN
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0203990730
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: 0415224543
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: 0415224551
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: 1134591128
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: 9780203990735
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: 9780415224543
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: 9780415224550
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: 9781134591121
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| Bibliographies/Indexes
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Includes bibliographical references and indexes.
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| Contents
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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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| Abstract
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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.
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| Subject
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Finance-- Econometric models.
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Stochastic processes.
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Time-series analysis.
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BUSINESS ECONOMICS-- Finance.
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Econometria.
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| Subject
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Finance-- Econometric models.
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| Subject
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Processos estocasticos.
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| Subject
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Stochastic processes.
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| Subject
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Time-series analysis.
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| Dewey Classification
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332/.01/5195
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| LC Classification
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HG106.W36 2003eb
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| NLM classification
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85.03bcl
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85.03.bcl
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85.33bcl
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85.33.bcl
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