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006			m d
007			cr||||
008			090501s2009 enka sb 001 0 eng d
020			_a9780203892879 (ebook : PDF)
020			_a9780367237899
040			_aFlBoTFG _cFlBoTFG
082			_a332.015 _bWAN
090			_aHG106 _b.W36 2009
100	1		_aWang, Peijie, _d1965-
245	1	0	_aFinancial econometrics _h[electronic resource] / _cPeijie Wang.
250			_a2nd ed.
260			_aLondon : _bRoutledge, _c2009.
300			_a1 online resource (xv, 320 p.) : _bill.
490	1		_aRoutledge advanced texts in economics and finance.
504			_aIncludes bibliographical references and index.
505			_a1. 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
506			_aOnline version restricted to NUS staff and students only through NUSNET.
520			_aThis 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.
530			_aAlso available in print edition.
538			_aMode of access: World Wide Web.
538			_aSystem requirements: Internet connectivity; World Wide Web browser.
650		0	_aFinance _xEconometric models.
650		0	_aTime-series analysis.
650		0	_aStochastic processes.
776	1		_z9780415426701.
830		0	_aRoutledge advanced texts in economics and finance.
942			_2ddc _cBOOKS
956	4	0	_uhttp://libproxy1.nus.edu.sg/login?url=http://www.tandfebooks.com/isbn/0203892879
999			_c39096 _d39096