Financial econometrics:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London [u.a.]
Routledge
2009
|
| Edition: | 2. ed. |
| Series: | Routledge advanced texts in economics and finance
[10] |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturangaben |
| Physical Description: | XV, 320 S. graph. Darst. |
| ISBN: | 0415426693 0415426707 9780415426695 9780415426701 |
Staff View
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Record in the Search Index
| _version_ | 1804138010530283520 |
|---|---|
| adam_text | Contents
List of figures
ix
List of tables
χ
Acknowledgements
xii
Preface
xiv
1
Stochastic processes and financial data generating processes
1
1.1.
Introduction
1
1.2.
Stochastic processes and their properties
5
1.3.
The behaviour of financial variables and beyond
8
2
Commonly applied statistical distributions and their relevance
15
2.1.
Normal distributions
15
2.2.
γ?
-distributions
23
2.3.
t-distributions
25
2.4. ¥
-distributions
28
3
Overview of estimation methods
30
3.1.
Basic OLSprocedures
30
3.2.
Basic ML procedures
32
3.3.
Estimation when iid is violated
33
3.4.
General residual distributions in time series and
cross-section modelling
35
3.5.
MM and GMM approaches
40
4
Unit roots,
cointegration
and other comovements in time series
45
4.1.
Unit roots and testing for unit roots
45
4.2.
Cointegration
49
4.3.
Common trends and common cycles
51
4.4.
Examples and cases
53
4.5.
Empirical literature
58
vi
Contents
5
Time-varying volatility models: GARCH and stochastic
volatility
66
5.7.
ARCH and GARCH and their variations
66
5.2.
Multivariate GARCH
70
5.3.
Stochastic volatility
74
5.4.
Examples and cases
75
5.5.
Empirical literature
82
6
Shock persistence and impulse response analysis
89
6.1.
Univariate persistence measures
90
6.2.
Multivariate persistence measures
92
6.3.
Impulse response analysis and variance decomposition
95
6.4.
Non-orthogonal cross-effect impulse response analysis
98
6.5.
Examples and cases
99
6.6.
Empirical literature
108
7
Modelling regime shifts: Markov switching models
113
7.1.
Markov chains
113
7.2.
Estimation
114
7.3.
Smoothing
117
7.4.
Time-varying transition probabilities
119
7.5.
Examples and cases
120
7.6.
Empirical literature
126
8
Present value models and tests for rationality
and market efficiency
131
8.1.
The basic present value model and its time series
characteristics
131
8.2.
The
VAR
representation
133
8.3.
The present value model in logarithms with time-varying
discount rates
136
8.4.
The
VAR
representation for the present value model in the
log-linear form
138
8.5.
Variance decomposition
139
8.6.
Examples and cases
140
8.7.
Empirical literature
147
9
State space models and the
Kalman
filter
151
9.1.
State space expression
151
9.2.
Kalman
filter algorithms
152
9.3.
Time-varying coefficient models
153
9.4.
State space models of commonly used time
series processes
154
Contents
vii
9.5.
Examples and cases
158
9.6.
Empirical literature
164
10
Frequency domain analysis of
tíme
series
168
10.1.
The Fourier transform and spectra
168
10.2.
Multivariate spectra, phases and coherence
172
10.3.
Frequency domain representations of commonly used time
series processes
173
10.4.
Frequency domain analysis of the patterns of violation of
white noise conditions
175
10.5.
Examples and cases
182
10.6.
Empirical literature
194
11
Limited dependent variables and discrete choice models
198
11.1.
Probit
and logit formulations
199
11.2.
Multinomial logit models and multinomial logistic
regression
202
11.3.
Ordered
probit
and logit
205
11.4.
Marginal effects
207
11.5.
Examples and cases
210
11.6.
Empirical literature
220
12
Limited dependent variables and truncated and censored
samples
226
12.1.
Truncated and censored data analysis
226
12.2.
The Tobit model
230
12.3.
Generalisation of the Tobit model:
Heekman
and
Cragg
233
12.4.
Examples and cases
234
12.5.
Empirical literature
242
13
Panel data analysis
249
13.1.
Structure and organisation of panel data sets
250
13.2.
Fixed effects vs. random effects models
252
13.3.
Random parameter models
260
13.4.
Dynamic panel data analysis
264
13.5.
Examples and cases
269
13.6.
Empirical literature
278
14
Research tools and sources of information
289
14.1.
Financial economics and econometrics literature
on the Internet
289
viii Contents
14.2.
Econometrie software
packages for
financial
and economic
data analysis
291
14.3.
Learned societies and professional associations
294
14.4.
Organisations and institutions
299
Index
313
|
| adam_txt |
Contents
List of figures
ix
List of tables
χ
Acknowledgements
xii
Preface
xiv
1
Stochastic processes and financial data generating processes
1
1.1.
Introduction
1
1.2.
Stochastic processes and their properties
5
1.3.
The behaviour of financial variables and beyond
8
2
Commonly applied statistical distributions and their relevance
15
2.1.
Normal distributions
15
2.2.
γ?
-distributions
23
2.3.
t-distributions
25
2.4. ¥
-distributions
28
3
Overview of estimation methods
30
3.1.
Basic OLSprocedures
30
3.2.
Basic ML procedures
32
3.3.
Estimation when iid is violated
33
3.4.
General residual distributions in time series and
cross-section modelling
35
3.5.
MM and GMM approaches
40
4
Unit roots,
cointegration
and other comovements in time series
45
4.1.
Unit roots and testing for unit roots
45
4.2.
Cointegration
49
4.3.
Common trends and common cycles
51
4.4.
Examples and cases
53
4.5.
Empirical literature
58
vi
Contents
5
Time-varying volatility models: GARCH and stochastic
volatility
66
5.7.
ARCH and GARCH and their variations
66
5.2.
Multivariate GARCH
70
5.3.
Stochastic volatility
74
5.4.
Examples and cases
75
5.5.
Empirical literature
82
6
Shock persistence and impulse response analysis
89
6.1.
Univariate persistence measures
90
6.2.
Multivariate persistence measures
92
6.3.
Impulse response analysis and variance decomposition
95
6.4.
Non-orthogonal cross-effect impulse response analysis
98
6.5.
Examples and cases
99
6.6.
Empirical literature
108
7
Modelling regime shifts: Markov switching models
113
7.1.
Markov chains
113
7.2.
Estimation
114
7.3.
Smoothing
117
7.4.
Time-varying transition probabilities
119
7.5.
Examples and cases
120
7.6.
Empirical literature
126
8
Present value models and tests for rationality
and market efficiency
131
8.1.
The basic present value model and its time series
characteristics
131
8.2.
The
VAR
representation
133
8.3.
The present value model in logarithms with time-varying
discount rates
136
8.4.
The
VAR
representation for the present value model in the
log-linear form
138
8.5.
Variance decomposition
139
8.6.
Examples and cases
140
8.7.
Empirical literature
147
9
State space models and the
Kalman
filter
151
9.1.
State space expression
151
9.2.
Kalman
filter algorithms
152
9.3.
Time-varying coefficient models
153
9.4.
State space models of commonly used time
series processes
154
Contents
vii
9.5.
Examples and cases
158
9.6.
Empirical literature
164
10
Frequency domain analysis of
tíme
series
168
10.1.
The Fourier transform and spectra
168
10.2.
Multivariate spectra, phases and coherence
172
10.3.
Frequency domain representations of commonly used time
series processes
173
10.4.
Frequency domain analysis of the patterns of violation of
white noise conditions
175
10.5.
Examples and cases
182
10.6.
Empirical literature
194
11
Limited dependent variables and discrete choice models
198
11.1.
Probit
and logit formulations
199
11.2.
Multinomial logit models and multinomial logistic
regression
202
11.3.
Ordered
probit
and logit
205
11.4.
Marginal effects
207
11.5.
Examples and cases
210
11.6.
Empirical literature
220
12
Limited dependent variables and truncated and censored
samples
226
12.1.
Truncated and censored data analysis
226
12.2.
The Tobit model
230
12.3.
Generalisation of the Tobit model:
Heekman
and
Cragg
233
12.4.
Examples and cases
234
12.5.
Empirical literature
242
13
Panel data analysis
249
13.1.
Structure and organisation of panel data sets
250
13.2.
Fixed effects vs. random effects models
252
13.3.
Random parameter models
260
13.4.
Dynamic panel data analysis
264
13.5.
Examples and cases
269
13.6.
Empirical literature
278
14
Research tools and sources of information
289
14.1.
Financial economics and econometrics literature
on the Internet
289
viii Contents
14.2.
Econometrie software
packages for
financial
and economic
data analysis
291
14.3.
Learned societies and professional associations
294
14.4.
Organisations and institutions
299
Index
313 |
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| any_adam_object_boolean | 1 |
| author | Wang, Peijie 1965- |
| author_GND | (DE-588)171245334 |
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| classification_rvk | QH 330 |
| ctrlnum | (OCoLC)176919801 (DE-599)BVBBV035064682 |
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01/5195 |
| dewey-search | 332.01/5195 |
| dewey-sort | 3332.01 45195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
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| id | DE-604.BV035064682 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:01:50Z |
| indexdate | 2024-07-09T21:21:23Z |
| institution | BVB |
| isbn | 0415426693 0415426707 9780415426695 9780415426701 |
| language | English |
| lccn | 2008004917 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016733156 |
| oclc_num | 176919801 |
| open_access_boolean | |
| owner | DE-703 DE-945 DE-355 DE-BY-UBR DE-473 DE-BY-UBG DE-M382 DE-188 DE-521 |
| owner_facet | DE-703 DE-945 DE-355 DE-BY-UBR DE-473 DE-BY-UBG DE-M382 DE-188 DE-521 |
| physical | XV, 320 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Routledge |
| record_format | marc |
| series | Routledge advanced texts in economics and finance |
| series2 | Routledge advanced texts in economics and finance |
| spelling | Wang, Peijie 1965- Verfasser (DE-588)171245334 aut Financial econometrics Peijie Wang 2. ed. London [u.a.] Routledge 2009 XV, 320 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Routledge advanced texts in economics and finance [10] Literaturangaben Ökonometrisches Modell Finance Econometric models Time-series analysis Stochastic processes Ökonometrie (DE-588)4132280-0 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Ökonometrie (DE-588)4132280-0 s Finanzierung (DE-588)4017182-6 s DE-604 Kreditmarkt (DE-588)4073788-3 s Finanzmathematik (DE-588)4017195-4 s 1\p DE-604 Erscheint auch als Online-Ausgabe 0-203-89287-9 Erscheint auch als Online-Ausgabe 978-0-203-89287-9 Routledge advanced texts in economics and finance [10] (DE-604)BV037241432 10 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016733156&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Wang, Peijie 1965- Financial econometrics Routledge advanced texts in economics and finance Ökonometrisches Modell Finance Econometric models Time-series analysis Stochastic processes Ökonometrie (DE-588)4132280-0 gnd Finanzmathematik (DE-588)4017195-4 gnd Kreditmarkt (DE-588)4073788-3 gnd Finanzierung (DE-588)4017182-6 gnd |
| subject_GND | (DE-588)4132280-0 (DE-588)4017195-4 (DE-588)4073788-3 (DE-588)4017182-6 |
| title | Financial econometrics |
| title_auth | Financial econometrics |
| title_exact_search | Financial econometrics |
| title_exact_search_txtP | Financial econometrics |
| title_full | Financial econometrics Peijie Wang |
| title_fullStr | Financial econometrics Peijie Wang |
| title_full_unstemmed | Financial econometrics Peijie Wang |
| title_short | Financial econometrics |
| title_sort | financial econometrics |
| topic | Ökonometrisches Modell Finance Econometric models Time-series analysis Stochastic processes Ökonometrie (DE-588)4132280-0 gnd Finanzmathematik (DE-588)4017195-4 gnd Kreditmarkt (DE-588)4073788-3 gnd Finanzierung (DE-588)4017182-6 gnd |
| topic_facet | Ökonometrisches Modell Finance Econometric models Time-series analysis Stochastic processes Ökonometrie Finanzmathematik Kreditmarkt Finanzierung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016733156&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV037241432 |
| work_keys_str_mv | AT wangpeijie financialeconometrics |