Financial econometrics: problems, models, and methods
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Princeton [u.a.]
Princeton Univ. Press
2001
|
| Schriftenreihe: | Princeton series in finance
|
| Schlagworte: | |
| Online-Zugang: | Table of contents Publisher description Inhaltsverzeichnis Klappentext |
| Beschreibung: | XI, 513 S. graph. Darst. |
| ISBN: | 0691088721 |
Internformat
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Datensatz im Suchindex
| _version_ | 1804128760755126272 |
|---|---|
| adam_text | Contents
Preface
vii
1
Introduction
1
2
Univariate Linear
Models: The AR(1) Process and
Its Extensions
17
3
Multivariate Linear Models:
VARMA
Representation
53
4
Simultaneity, Recursivity, and Causality Analysis
81
5
Persistence and Cointegration
105
6
Conditional Heteroscedasticity: Nonlinear
Autoregressive
Models, ARCH Models, Stochastic Volatility Models
117
7
Expectation and Present Value Models
151
8
Intertemporal
Behavior and the Method of Moments
173
9
Dynamic Factor Models
195
10
Dynamic Qualitative Processes
219
11
Diffusion Models
241
12
Estimation of Diffusion Models
285
13
Econometrics of Derivatives
317
14
Dynamic Models for High-Frequency Data
351
15
Market Indexes
409
16
Management of Extreme Risks
427
References
451
Index
477
ECONOMICS I FINANCE
Financial econometrics is a groat success story in economics. Econometrics uses data and
statistical inference methods, together with structural and descriptive modeling, to address
rigorous economic problems. Its development within the world of finance is quite recent
and has been paralleled by a fast expansion of financial markets and an increasing variety
and complexity of financial products. This has fueled the demand for people with advanced
econometrics skills.
For professionals and advanced graduate students pursuing greater expertise in
econometric modeling, this is a superb guide to the field s frontier. With the goal of
providing information that is absolutely up-to-date—esse.ntial in today s rapidly evolving
financial environment—Gourieroux and Jasiak focus on methods related to current research
and those modeling techniques that seem relevant to future advances. They present a
balanced synthesis of financial theory and statistical methodology. Recognizing that any
model is necessarily a simplified image of reality and that econometric methods must be
adapted and applied on a case-by-ease basis, the authors employ a wide variety of data
sampled at frequencies ranging from intraday to inontMy. These data comprise time series
representing both the European and North
american
markets for stocks, bonds, and
foreign currencies. Practitioners are encouraged to keep a critical eye and arc armed with
graphical diagnostics to eradicate misspeeifieation errors.
This authoritative, state-of-the-art reference text is ideal for upper-level graduate students,
researchers» and professionals seeking to update their skills and gain greater facility in
using econometric models. All will benefit
from
the emphasis
ou
practical aspects of
financial modeling and statistical inference.
Docte ¡ral
candidates will appreciate the inclusion
of detailed mathematical derivations of the deeper results as well as the more advanced
problems concerning high-frequency data and risk control. By establishing a link between
practical questions and the answers provided by financial and .statistical theory, the book
also addresses the needs of applied researchers employed by
financial
institutions.
(•kristian
Gockikkoux is Director of the Laboratory for Finance and Insurance at the
I Center for Research in Economics and Statistics (CREST) in Paris. He is the coauthor of
Statistics and Econometric Models, Simulation
Bmeå
Econometrie
Methods, and Time
Series and Dynamic Models. Joans Jasiak is Associate Professor in the Department of
F.eonomies. iork University. Toronto.
Princeton Series is Finance
Dnrrell
Duffte anti
Stephen Svhaefir, Editors
Twr Pbino-ton Sfhiks in Finance, under the editoiship of
Proře
-ѕшгѕ
ÜaireO Duffe
of Stanford
I ni ersity anil Stephen Sehaefer of the London Basiaess
Schooi, uil
include monographs.
treatises, and advanced texts of the highest standard, written by top experts, and aimed at
the graduate, research, and practitioner markets in Usance and financial economics.
|
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| indexdate | 2024-07-09T18:54:22Z |
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| language | English |
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| spelling | Gouriéroux, Christian 1949- Verfasser (DE-588)170098907 aut Financial econometrics problems, models, and methods Christian Gourieroux ; Joann Jasiak Princeton [u.a.] Princeton Univ. Press 2001 XI, 513 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Princeton series in finance Finanzmathematik Kreditmarkt - Ökonometrie USA Ökonometrie / Zeitreihenanalyse / Wertpapieranalyse / Portfolio-Management / Kapitalmarkttheorie / Theorie Mathematisches Modell Econometrics Finance -- Statistical methods Finance -- Mathematical models Finanzierung (DE-588)4017182-6 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Ökonometrie (DE-588)4132280-0 s Finanzierung (DE-588)4017182-6 s DE-604 Finanzmathematik (DE-588)4017195-4 s DE-188 Kreditmarkt (DE-588)4073788-3 s Jasiak, Joann 1963- Verfasser (DE-588)171361458 aut http://www.loc.gov/catdir/toc/prin031/2001036264.html Table of contents http://www.loc.gov/catdir/description/prin022/2001036264.html Publisher description Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009522499&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009522499&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Gouriéroux, Christian 1949- Jasiak, Joann 1963- Financial econometrics problems, models, and methods Finanzmathematik Kreditmarkt - Ökonometrie USA Ökonometrie / Zeitreihenanalyse / Wertpapieranalyse / Portfolio-Management / Kapitalmarkttheorie / Theorie Mathematisches Modell Econometrics Finance -- Statistical methods Finance -- Mathematical models Finanzierung (DE-588)4017182-6 gnd Ökonometrie (DE-588)4132280-0 gnd Finanzmathematik (DE-588)4017195-4 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| subject_GND | (DE-588)4017182-6 (DE-588)4132280-0 (DE-588)4017195-4 (DE-588)4073788-3 |
| title | Financial econometrics problems, models, and methods |
| title_auth | Financial econometrics problems, models, and methods |
| title_exact_search | Financial econometrics problems, models, and methods |
| title_full | Financial econometrics problems, models, and methods Christian Gourieroux ; Joann Jasiak |
| title_fullStr | Financial econometrics problems, models, and methods Christian Gourieroux ; Joann Jasiak |
| title_full_unstemmed | Financial econometrics problems, models, and methods Christian Gourieroux ; Joann Jasiak |
| title_short | Financial econometrics |
| title_sort | financial econometrics problems models and methods |
| title_sub | problems, models, and methods |
| topic | Finanzmathematik Kreditmarkt - Ökonometrie USA Ökonometrie / Zeitreihenanalyse / Wertpapieranalyse / Portfolio-Management / Kapitalmarkttheorie / Theorie Mathematisches Modell Econometrics Finance -- Statistical methods Finance -- Mathematical models Finanzierung (DE-588)4017182-6 gnd Ökonometrie (DE-588)4132280-0 gnd Finanzmathematik (DE-588)4017195-4 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| topic_facet | Finanzmathematik Kreditmarkt - Ökonometrie USA Ökonometrie / Zeitreihenanalyse / Wertpapieranalyse / Portfolio-Management / Kapitalmarkttheorie / Theorie Mathematisches Modell Econometrics Finance -- Statistical methods Finance -- Mathematical models Finanzierung Ökonometrie Kreditmarkt |
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