Author
Svetlozar T. Rachev, the University of Karlsruhe
Stefan Mittnik, PhD, the University of Munich
Frank J. Fabozzi, Yale University’s
Sergio M. Focardi, The Intertek Group
Teo Jašić, Ph, the University of Karlsruhe
Description
A comprehensive guide to financial econometrics
Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed.
Table of Contents ( Detail )
CHAPTER 1: Financial Econometrics: Scope and Methods.
CHAPTER 2: Review of Probability and Statistics.
CHAPTER 3: Regression Analysis: Theory and Estimation.
CHAPTER 4: Selected Topics in Regression Analysis.
CHAPTER 5: Regression Applications in Finance.
CHAPTER 6: Modeling Univariate Time Series.
CHAPTER 7: Approaches to ARIMA Modeling and Forecasting.
CHAPTER 8: Autoregressive Conditional Heteroskedastic Models.
CHAPTER 9: Vector Autoregressive Models I.
CHAPTER 10: Vector Autoregressive Models II.
CHAPTER 11: Cointegration and State Space Models.
CHAPTER 12: Robust Estimation.
CHAPTER 13: Principal Components Analysis and Factor Analysis.
CHAPTER 14: Heavy-Tailed and Stable Distributions in Financial Econometrics.
CHAPTER 15: ARMA and ARCH Models with Infinite-Variance Innovations.
INDEX.
