Financial econometrics :: methods and models /
This book which provides an overview of contemporary topics related to the modelling of financial time series, is set against a backdrop of rapid expansions of interest in both the models themselves and the financial problems to which they are applied.This excellent textbook covers all the major dev...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
London ; New York :
Routledge,
2003.
|
| Schriftenreihe: | Routledge advanced texts in economics and finance.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | This book which provides an overview of contemporary topics related to the modelling of financial time series, is set against a backdrop of rapid expansions of interest in both the models themselves and the financial problems to which they are applied.This excellent textbook covers all the major developments in the area in recent years in an informative as well as succinct way.Refreshingly, every chapter has a section of two or more examples and a section of empirical literature, offering the reader the opportunity to practice the kind of research going on in the area. This approach he. |
| Beschreibung: | 1 online resource (xiii, 178 pages) : illustrations |
| Bibliographie: | Includes bibliographical references and indexes. |
| ISBN: | 0203990730 9780203990735 0415224543 9780415224543 0415224551 9780415224550 1134591128 9781134591121 |
Internformat
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| contents | Half-Title; Title; Copyright; Contents; Detailed contents; List of illustrations; Preface; Acknowledgements; 1 Stochastic processes and financial time series; 2 Unit roots, cointegration and other comovements in time series; 3 Time-varying volatility models -- GARCH and stochastic volatility; 4 Shock persistence and impulse response analysis; 5 Modelling regime shifts; 6 Present value models and tests for rationality and market efficiency; 7 State space models and the Kalman .lter; 8 Frequency domain analysis of time series; 9 Research tools and sources of information; Subject index |
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| discipline | Wirtschaftswissenschaften |
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| illustrated | Illustrated |
| indexdate | 2024-11-27T13:15:46Z |
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| series | Routledge advanced texts in economics and finance. |
| series2 | Routledge Advanced Texts in Economics and Finance |
| spelling | Wang, Peijie, 1965- https://id.oclc.org/worldcat/entity/E39PBJmhVbvR8xFDpmBbbrHjYP http://id.loc.gov/authorities/names/n00101297 Financial econometrics : methods and models / Peijie Wang. London ; New York : Routledge, 2003. 1 online resource (xiii, 178 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier data file rda Routledge Advanced Texts in Economics and Finance Includes bibliographical references and indexes. Print version record. Half-Title; Title; Copyright; Contents; Detailed contents; List of illustrations; Preface; Acknowledgements; 1 Stochastic processes and financial time series; 2 Unit roots, cointegration and other comovements in time series; 3 Time-varying volatility models -- GARCH and stochastic volatility; 4 Shock persistence and impulse response analysis; 5 Modelling regime shifts; 6 Present value models and tests for rationality and market efficiency; 7 State space models and the Kalman .lter; 8 Frequency domain analysis of time series; 9 Research tools and sources of information; Subject index This book which provides an overview of contemporary topics related to the modelling of financial time series, is set against a backdrop of rapid expansions of interest in both the models themselves and the financial problems to which they are applied.This excellent textbook covers all the major developments in the area in recent years in an informative as well as succinct way.Refreshingly, every chapter has a section of two or more examples and a section of empirical literature, offering the reader the opportunity to practice the kind of research going on in the area. This approach he. English. Finance Econometric models. Time-series analysis. http://id.loc.gov/authorities/subjects/sh85135430 Stochastic processes. http://id.loc.gov/authorities/subjects/sh85128181 Finances Modèles économétriques. Série chronologique. Processus stochastiques. BUSINESS & ECONOMICS Finance. bisacsh Finance Econometric models fast Stochastic processes fast Time-series analysis fast Processos estocasticos. larpcal Econometria. larpcal has work: Financial econometrics (Text) https://id.oclc.org/worldcat/entity/E39PCGwHMxDDJJqgHhrqtG7Y6C https://id.oclc.org/worldcat/ontology/hasWork Print version: Wang, Peijie, 1965- Financial econometrics. London ; New York : Routledge, 2003 0415224543 0415224551 (DLC) 2002032463 (OCoLC)50643752 Routledge advanced texts in economics and finance. http://id.loc.gov/authorities/names/n2004102107 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=138835 Volltext |
| spellingShingle | Wang, Peijie, 1965- Financial econometrics : methods and models / Routledge advanced texts in economics and finance. Half-Title; Title; Copyright; Contents; Detailed contents; List of illustrations; Preface; Acknowledgements; 1 Stochastic processes and financial time series; 2 Unit roots, cointegration and other comovements in time series; 3 Time-varying volatility models -- GARCH and stochastic volatility; 4 Shock persistence and impulse response analysis; 5 Modelling regime shifts; 6 Present value models and tests for rationality and market efficiency; 7 State space models and the Kalman .lter; 8 Frequency domain analysis of time series; 9 Research tools and sources of information; Subject index Finance Econometric models. Time-series analysis. http://id.loc.gov/authorities/subjects/sh85135430 Stochastic processes. http://id.loc.gov/authorities/subjects/sh85128181 Finances Modèles économétriques. Série chronologique. Processus stochastiques. BUSINESS & ECONOMICS Finance. bisacsh Finance Econometric models fast Stochastic processes fast Time-series analysis fast Processos estocasticos. larpcal Econometria. larpcal |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85135430 http://id.loc.gov/authorities/subjects/sh85128181 |
| title | Financial econometrics : methods and models / |
| title_auth | Financial econometrics : methods and models / |
| title_exact_search | Financial econometrics : methods and models / |
| title_full | Financial econometrics : methods and models / Peijie Wang. |
| title_fullStr | Financial econometrics : methods and models / Peijie Wang. |
| title_full_unstemmed | Financial econometrics : methods and models / Peijie Wang. |
| title_short | Financial econometrics : |
| title_sort | financial econometrics methods and models |
| title_sub | methods and models / |
| topic | Finance Econometric models. Time-series analysis. http://id.loc.gov/authorities/subjects/sh85135430 Stochastic processes. http://id.loc.gov/authorities/subjects/sh85128181 Finances Modèles économétriques. Série chronologique. Processus stochastiques. BUSINESS & ECONOMICS Finance. bisacsh Finance Econometric models fast Stochastic processes fast Time-series analysis fast Processos estocasticos. larpcal Econometria. larpcal |
| topic_facet | Finance Econometric models. Time-series analysis. Stochastic processes. Finances Modèles économétriques. Série chronologique. Processus stochastiques. BUSINESS & ECONOMICS Finance. Finance Econometric models Stochastic processes Time-series analysis Processos estocasticos. Econometria. |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=138835 |
| work_keys_str_mv | AT wangpeijie financialeconometricsmethodsandmodels |