Springer Finance - 2005

CONTENTS

1 Introduction
2 Basic Probability Theory and Markov Chains
3 Estimation Techniques
4 Non-Parametric Method of Estimation
5 Unit Root, Cointegration and Related Issues
6 VAR Modeling
7 Time Varying Volatility Models
8 State-Space Models (I)
9 State-Space Models (II)
10 Discrete Time Real Asset Valuation Model
11 Discrete Time Model of Interest Rate
12 Global Bubbles in Stock Markets and Linkages
13 Forward FX Market and the Risk Premium
14 Equity Risk Premia from Derivative Prices

INTRODUCTION

This book offers the opportunity to study and experience advanced empirical
techniques in finance and in general financial economics. It is not only
suitable for students with an interest in the field, it is also highly recommended
for academic researchers as well as the researchers in the industry.
The book focuses on the contemporary empirical techniques used in the
analysis of financial markets and how these are implemented using actual
market data. With an emphasis on Implementation, this book helps focusing
on strategies for rigorously combing finance theory and modeling
technology to extend extant considerations in the literature.