Financial Econometrics II

Financial Econometrics II

by Peijie Wang

Paperback(New Edition)

$87.95

Product Details

ISBN-13: 9780415426695
Publisher: Taylor & Francis
Publication date: 09/05/2008
Series: Routledge Advanced Texts in Economics and Finance Series
Edition description: New Edition
Pages: 336
Product dimensions: 6.25(w) x 9.25(h) x 0.90(d)

About the Author

Peijie Wang is Professor of Finance at IÉSEG School of Management, Catholic University of Lille. He is author of An Econometric Analysis of the Real Estate Market (Routledge 2001) and The Economics of Foreign Exchange and Global 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

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