LEADER 03096nam 22006134a 450 001 9910970819403321 005 20251116175558.0 010 $a1-134-59111-X 010 $a1-134-59112-8 010 $a1-280-17725-X 010 $a0-203-99073-0 024 7 $a10.4324/9780203990735 035 $a(CKB)1000000000249956 035 $a(MiAaPQ)EBC241874 035 $a(Au-PeEL)EBL241874 035 $a(CaPaEBR)ebr10165523 035 $a(CaONFJC)MIL17725 035 $a(OCoLC)935227631 035 $a(OCoLC)826516417 035 $a(EXLCZ)991000000000249956 100 $a20020828d2003 uy 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aFinancial econometrics $emethods and models /$fPeijie Wang 205 $a1st ed. 210 $aLondon ;$aNew York $cRoutledge$d2003 215 $a1 online resource (193 pages) 225 1 $aRoutledge Advanced Texts in Economics and Finance 311 08$a0-415-22455-1 311 08$a0-415-22454-3 320 $aIncludes bibliographical references and indexes. 327 $aIntro -- 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. 330 $aThis book which provides an overview of contemporary topics related to the modelling of financial time series, is set against a backdrop of rapid expansions of interest in both the models themselves and the financial problems to which they are applied. This excellent textbook covers all the major developments in the area in recent years in an informative as well as succinct way. Refreshingly, every chapter has a section of two or more examples and a section of empirical literature, offering the reader the opportunity to practice the kind of research going on in the area. This approach helps the reader develop interest, confidence and momentum in learning contemporary econometric topics. 410 0$aRoutledge Advanced Texts in Economics and Finance 606 $aFinance$xEconometric models 606 $aTime-series analysis 606 $aStochastic processes 615 0$aFinance$xEconometric models. 615 0$aTime-series analysis. 615 0$aStochastic processes. 676 $a332/.01/5195 686 $a85.03$2bcl 686 $a85.33$2bcl 700 $aWang$b Peijie$f1965-$01873072 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910970819403321 996 $aFinancial econometrics$94483008 997 $aUNINA