Handbook of Statistics 14: Statistical Methods in Finance (Handbook of Statistics) (Hardcover)~ G (Author), S Maddala (Author)





Product DescriptionHardbound. 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.

Product Details Hardcover: 750 pages Publisher: Butterworth Heinemann; 1 edition (December 1, 1996) Language: English ISBN-10: 0444819649 ISBN-13: 978-0444819642

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.

Contents
Preface v
Contributors xv

Part I Asset Pricing
1 Econometric Evaluation of Asset Pricing Models 1
2 Instrumental Variables Estimation of Conditional Beta Pricing Models 35
3 Semiparametric Methods for Asset Pricing Models 61

Part II Term Structures of Interest Rates
4 Modeling the Term Structure 91

Part III Volatility
5 Stochastic Volatility 11
6 Stock Price Volatility 193
7 Garch Models of Volatility 209

Part IV Prediction
8 Forecast Evaluation and Combination 241
9 Predictable Components in Stock Returns 269
10 Interest Rate Spreads as Predictors of Busines Cycles 297

Part V Alternative Probabilistic Models
11 Nonlinear Time Series, Comp……

Product Details Hardcover: 750 pages Publisher: Butterworth Heinemann; 1 edition (December 1, 1996) Language: English ISBN-10: 0444819649 ISBN-13: 978-0444819642