Financial Econometrics （2nd Ed., 2009)

Routledge Advanced Texts in Economics and Finance

By: Peijie Wang

很好的一本书，PDF高清版 (337页），只售2个论坛币

Wang-Financial Econometrics-2ndEd.pdf
大小:(2.31 MB)

只需: 2 个论坛币  马上下载

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.

Table of Contents

1. Stochastic Processes and Financial Data Generating Processes  
2. Commonly Applied Statistical Distributions and their Relevance  
3. Overview of Estimation Methods  
4. Unit Roots, Cointegration and other Comovements in Time Series  
5. Time-Varying Volatility Models: GARCH and Stochastic Volatility  
6. Shock Persistence and Impulse Response Analysis  
7. Modelling Regime Shifts: Markov Switching Models  
8. Present Value Models and Tests for Rationality and Market Efficiency  
9. State Space Models and the Kalman Filter  
10. Frequency Domain Analysis of Time Series  
11. Limited Dependent Variables and Discrete Choice Models  
12. Limited Dependent Variables and Truncated and Censored Samples  
13. Panel Data Analysis  
14. Research Tools and Sources of Information

https://www.amazon.com/Financial-Econometrics-Routledge-Advanced-Economics/dp/0415426693/ref=sr_1_35?s=books&ie=UTF8&qid=1548571968&sr=1-35&keywords=Financial+Econometrics