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Statistical Methods in Finance : Volume 14 - G. S. Maddala

Statistical Methods in Finance

Volume 14

Hardcover Published: 25th December 1996
ISBN: 9780444819642
Number Of Pages: 733

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A comprehensive reference work for teaching at graduate level and research in empirical finance. The chapters cover a wide range of statistical and probabilistic methods applied to a variety of financial methods and are written by internationally renowned experts.

Preface
Contributors
Econometric Evaluation of Asset Pricing Modelsp. 1
Instrumental Variables Estimation of Conditional Beta Pricing Modelsp. 35
Semiparametric Methods for Asset Pricing Modelsp. 61
Modeling the Term Structurep. 91
Stochastic Volatilityp. 119
Stock Price Volatilityp. 193
GARCH Models of Volatilityp. 209
Forecast Evaluation and Combinationp. 241
Predictable Components in Stock Returnsp. 269
Interest Rate Spreads as Predictors of Business Cyclesp. 297
Nonlinear Time Series, Complexity Theory, and Financep. 317
Count Data Models for Financial Datap. 363
Financial Applications of Stable Distributionsp. 393
Probability Distributions for Financial Modelsp. 427
Bootstrap Based Tests in Financial Modelsp. 463
Principal Components and Factor Analysesp. 489
Errors-in-Variables Problems in Financial Modelsp. 507
Financial Applications of Artificial Neural Networksp. 529
Applications of Limited Dependent Variable Models in Financep. 553
Testing Option Pricing Modelsp. 567
Peso Problems: Their Theoretical and Empirical Implicationsp. 613
Modeling Market Microstructure Time Seriesp. 647
Statistical Methods in Tests of Portfolio Efficiency: A Synthesisp. 693
Subject Indexp. 713
Contents of Previous Volumesp. 719
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9780444819642
ISBN-10: 0444819649
Series: Handbook of Statistics
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 733
Published: 25th December 1996
Publisher: Elsevier Science & Technology
Country of Publication: GB
Dimensions (cm): 25.4 x 17.78  x 3.81
Weight (kg): 1.5