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Record Nr. |
UNINA9910451488803321 |
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Autore |
Wang Peijie |
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Titolo |
Financial Econometrics |
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Pubbl/distr/stampa |
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Florence : , : Taylor & Francis Group, , 2002 |
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©2002 |
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ISBN |
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1-134-59111-X |
1-134-59112-8 |
1-280-17725-X |
0-203-99073-0 |
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Descrizione fisica |
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1 online resource (193 pages) |
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Collana |
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Routledge Advanced Texts in Economics and Finance Ser. |
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Disciplina |
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Soggetti |
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Finance - Econometric models |
Time-series analysis |
Stochastic processes |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Nota di contenuto |
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Intro -- Half-Title -- Title -- Copyright -- Contents -- Detailed contents -- List of illustrations -- Preface -- Acknowledgements -- 1 Stochastic processes and financial time series -- 2 Unit roots, cointegration and other comovements in time series -- 3 Time-varying volatility models - GARCH and stochastic volatility -- 4 Shock persistence and impulse response analysis -- 5 Modelling regime shifts -- 6 Present value models and tests for rationality and market efficiency -- 7 State space models and the Kalman .lter -- 8 Frequency domain analysis of time series -- 9 Research tools and sources of information -- Subject index. |
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Sommario/riassunto |
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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 |
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