Financial Econometrics
Language: English
Published by Routledge, 2008
Series: Book 9 of 43 - Routledge Advanced Texts in Economics and Finance
- Hardcover
- New
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- Title
- Financial Econometrics
- Author
- Wang, Peijie
- Publisher
- Routledge
- Publication year
- 2008
- Condition
- New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0415426707
- ISBN 13
- 9780415426701
- Series
- Book 9 of 43: Routledge Advanced Texts in Economics and Finance
This 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.
"Synopsis" may belong to another edition of this title.
About the Author
Peijie Wang is Professor of Finance at IÉSEG School of Management, Catholic University of Lille. He is author of An Econometric Analysis of the Real Estate Market (Routledge 2001) and The Economics of Foreign Exchange and Global Finance.
"About the title" may belong to another edition of this title.
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