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Financial Econometrics : Routledge Advanced Texts in Economics and Finance - Peijie Wang

Financial Econometrics

Routledge Advanced Texts in Economics and Finance

Hardcover Published: 21st November 2002
ISBN: 9780415224543
Number Of Pages: 196

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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

Introduction
Stochastic Models and Processes
The Behaviour of Security Prices
Modelling Long-run Relationships in Financial Time Series
Modelling Volatility in Financial Time Series
Modelling Regime Shifts
The Present Value Model, Rationality, and Market Efficiency
The Kalman Filter
Frequency Domain Analysis
Financial Tools
Summary
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780415224543
ISBN-10: 0415224543
Series: Routledge Advanced Texts in Economics and Finance
Audience: Tertiary; University or College
Format: Hardcover
Language: English
Number Of Pages: 196
Published: 21st November 2002
Country of Publication: GB
Dimensions (cm): 23.5 x 15.88  x 1.91
Weight (kg): 0.41
Edition Number: 1

Earn 1051 Qantas Points
on this Book