ISBN 9780415426695,Financial Econometrics

Financial Econometrics

Author:

Peijie Wang

Publisher:

Springer

Rs3130 Rs3911 20% OFF

Availability: Available

Usually ships in: 2-3 business days

(Free Delivery)

We Accept
ISBN 9780415426695
Check delivery information
 
ISBN 9780415426695
Publisher

Springer

Publication Year 2008
ISBN-13

ISBN 9780415426695

ISBN-10 0415426693
Binding

Paperback

Number of Pages 392 Pages
Language (English)
Subject

Business

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.

More from Author

Scroll