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- catalog abstract ""Refreshingly, every chapter has a section of two or more examples and a section of empirical literature, offering the reader the opportunity to practise right away the kind of research going on in the area. This approach helps the reader develop interest, confidence and momentum in learning contemporary econometric topics." "Graduate and advanced undergraduate students requiring a broad knowledge of techniques applied in the finance literature, as well as students of financial economics engaged in empirical enquiry, should find this textbook to be invaluable."--Jacket. "Financial Econometrics covers all major developments in the area in recent years in an informative as well as succinct way. Subjects covered include: unit roots, co-integration and other comovements in time series, time-varying volatility models of the GARCH type and the stochastic volatility, approach, analysis of shock persistence and impulse responses, Markov switching, present value relations and data characteristics, state space models and the Kalman filter, and frequency domain analysis of time series."".
- catalog contributor b12679974.
- catalog created "2003.".
- catalog date "2003".
- catalog date "2003.".
- catalog dateCopyrighted "2003.".
- catalog description ""Financial Econometrics covers all major developments in the area in recent years in an informative as well as succinct way. Subjects covered include: unit roots, co-integration and other comovements in time series, time-varying volatility models of the GARCH type and the stochastic volatility, approach, analysis of shock persistence and impulse responses, Markov switching, present value relations and data characteristics, state space models and the Kalman filter, and frequency domain analysis of time series."".
- catalog description ""Refreshingly, every chapter has a section of two or more examples and a section of empirical literature, offering the reader the opportunity to practise right away the kind of research going on in the area. This approach helps the reader develop interest, confidence and momentum in learning contemporary econometric topics." "Graduate and advanced undergraduate students requiring a broad knowledge of techniques applied in the finance literature, as well as students of financial economics engaged in empirical enquiry, should find this textbook to be invaluable."--Jacket.".
- catalog description "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: Markov switching models -- 6. Present value models and tests for rationality and market efficiency -- 7. State space models and the Kalman filter -- 8. Frequency domain analysis of time series -- 9. Research tools and sources of information.".
- catalog description "Includes bibliographical references and indexes.".
- catalog extent "xiii, 178 p. :".
- catalog identifier "0415224543 (hb.)".
- catalog identifier "0415224551 (pbk.)".
- catalog issued "2003".
- catalog issued "2003.".
- catalog language "eng".
- catalog publisher "London ; New York : Routledge,".
- catalog subject "332/.01/5195 21".
- catalog subject "Finance Econometric models.".
- catalog subject "HG106 .W36 2003".
- catalog subject "Stochastic processes.".
- catalog subject "Time-series analysis.".
- catalog tableOfContents "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: Markov switching models -- 6. Present value models and tests for rationality and market efficiency -- 7. State space models and the Kalman filter -- 8. Frequency domain analysis of time series -- 9. Research tools and sources of information.".
- catalog title "Financial econometrics : methods and models / Peijie Wang.".
- catalog type "text".