03096nam 22006134a 450 991097081940332120251116175558.01-134-59111-X1-134-59112-81-280-17725-X0-203-99073-010.4324/9780203990735(CKB)1000000000249956(MiAaPQ)EBC241874(Au-PeEL)EBL241874(CaPaEBR)ebr10165523(CaONFJC)MIL17725(OCoLC)935227631(OCoLC)826516417(EXLCZ)99100000000024995620020828d2003 uy 0engurcnu||||||||txtrdacontentcrdamediacrrdacarrierFinancial econometrics methods and models /Peijie Wang1st ed.London ;New York Routledge20031 online resource (193 pages)Routledge Advanced Texts in Economics and Finance0-415-22455-1 0-415-22454-3 Includes bibliographical references and indexes.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.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.Routledge Advanced Texts in Economics and FinanceFinanceEconometric modelsTime-series analysisStochastic processesFinanceEconometric models.Time-series analysis.Stochastic processes.332/.01/519585.03bcl85.33bclWang Peijie1965-1873072MiAaPQMiAaPQMiAaPQBOOK9910970819403321Financial econometrics4483008UNINA