Tous nos rayons

Déjà client ? Identifiez-vous

Mot de passe oublié ?

Nouveau client ?

CRÉER VOTRE COMPTE
Financial Econometrics

Librairie Eyrolles - Paris 5e
Indisponible

Financial Econometrics

Financial Econometrics

Methods and Models

Peijie Wang

192 pages, parution le 04/12/2002

Résumé

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 reader develop interest, confidence and momentum in learning contemporary econometric topics.

Contents

  • Stochastic Processes and Financial Time Series
  • Unit Roots, cointegration and Other Comovements in Time Szries
  • Time-varying Volability Models-GARCH and Modeling Stochastic Volability
  • Shock Persistence and Impulse Response Analysis
  • Modelling Regime Shifts : Markov Switching Models
  • Present Value Models and Tests for Rationality and Market Efficiency
  • State Space Models and The Kalman Filter
  • Frequency Domain Analysis of Time Series
  • Research Tools and Sources of Information

L'auteur - Peijie Wang

Peijie Wang has taught numerous finance, accounting, and investment courses at postgraduate, undergraduate and MBA levels and supervised various PhD theses and Masters dissertations at City University Business School, University of Manchester, Manchester Business School, UMIST and other institutions. He has published widely in major finance, economics, real estate and statistics journals.

Caractéristiques techniques

  PAPIER
Éditeur(s) Taylor and Francis Books
Auteur(s) Peijie Wang
Parution 04/12/2002
Nb. de pages 192
Format 15,5 x 23,5
Couverture Broché
Poids 296g
Intérieur Noir et Blanc
EAN13 9780415224550
ISBN13 978-0-415-22455-0

Avantages Eyrolles.com

Livraison à partir de 0,01 en France métropolitaine
Paiement en ligne SÉCURISÉ
Livraison dans le monde
Retour sous 15 jours
+ d'un million et demi de livres disponibles
satisfait ou remboursé
Satisfait ou remboursé
Paiement sécurisé
modes de paiement
Paiement à l'expédition
partout dans le monde
Livraison partout dans le monde
Service clients 0 321 79 56 75 sav@commande.eyrolles.com
librairie française
Librairie française depuis 1925