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Book Categories |
| Detailed contents | ||
| List of illustrations | ||
| Preface | ||
| Acknowledgements | ||
| 1 | Stochastic processes and financial time series | 1 |
| 2 | Unit roots, cointegration and other comovements in time series | 14 |
| 3 | Time-varying volatility models - GARCH and stochastic volatility | 35 |
| 4 | Shock persistence and impulse response analysis | 58 |
| 5 | Modelling regime shifts: Markov switching models | 82 |
| 6 | Present value models and tests for rationality and market efficiency | 99 |
| 7 | State space models and the Kalman filter | 118 |
| 8 | Frequency domain analysis of time series | 134 |
| 9 | Research tools and sources of information | 155 |
| Index | 172 |
| Price | Condition | Delivery | Seller | Action |
| $99.99 | Digital |
| WonderClub |
Hildur Jonsson
reviewed Understanding Financial Econometrics on November 02, 2020
Understanding Financial Econometrics
Even too intuitive, at times. Too light-weight, in my opinion. However, the things that were discussed, I loved the approach to them.
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