Financial Econometrics

Methods and Models

Peijie Wang

192 pages, parution le 04/12/2002

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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