Financial econometrics [electronic resource] / Peijie Wang.
Material type: TextSeries: Routledge advanced texts in economics and financePublication details: London : Routledge, 2009.Edition: 2nd edDescription: 1 online resource (xv, 320 p.) : illISBN:- 9780203892879 (ebook : PDF)
- 9780367237899
- 332.015 WAN
Item type | Current library | Collection | Call number | Status | Date due | Barcode |
---|---|---|---|---|---|---|
General Books | CUTN Central Library Social Sciences | Non-fiction | 332.015 WAN (Browse shelf(Opens below)) | Available | 47320 |
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332 WAK Introduction to microfinance / | 332 YAD Microfinance / | 332.015 LIM Financial valuation and econometrics / | 332.015 WAN Financial econometrics | 332.0151 CHA Financial mathematics for actuaries / | 332.0151955 TSA Analysis of financial time series / | 332.024 SHE Financial Capability and Asset Building in Vulnerable Households : |
Includes bibliographical references and index.
1. Stochastic Processes and Financial Data Generating Processes 2. Commonly Applied Statistical Distributions and their Relevance 3. Overview of Estimation Methods 4. Unit Roots, Cointegration and other Comovements in Time Series 5. Time-Varying Volatility Models: GARCH and Stochastic Volatility 6. Shock Persistence and Impulse Response Analysis 7. Modelling Regime Shifts: Markov Switching Models 8. Present Value Models and Tests for Rationality and Market Efficiency 9. State Space Models and the Kalman Filter 10. Frequency Domain Analysis of Time Series 11. Limited Dependent Variables and Discrete Choice Models 12. Limited Dependent Variables and Truncated and Censored Samples 13. Panel Data Analysis 14. Research Tools and Sources of Information
Online version restricted to NUS staff and students only through NUSNET.
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.
Also available in print edition.
Mode of access: World Wide Web.
System requirements: Internet connectivity; World Wide Web browser.
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