Financial Econometrics

By: Peijie Wang

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Hardcover | 19 September 2008 | Edition Number 1

At a Glance

Hardcover
320 Pages

Dimensions(cm)
23.7 x 16.2 x 2.6

Hardcover

RRP $399.00

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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.

Industry Reviews

"!The author aimed at bringing together, to a single research-oriented volume, various topics concerning the modelling and analysis of financial data, which were previously scattered in different books. !The main difference from the first edition is in the time series modelling, but also this second edition considers discrete choice models, estimation of censored and truncated samples and other topics which developed significantly since the first edition. ! The unique feature of the book is that each chapter has a section or two of examples and cases, and a section of empirical literature. This will give a potential reader an opportunity both to understand better the theory and to practice in applying this theory to real models. !" --Yuliya S. Mishura, Zentralblatt MATH 1171

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