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Financial Econometrics: Problems, Models, and Methods Book

Financial Econometrics: Problems, Models, and Methods
Financial Econometrics: Problems, Models, and Methods, Financial econometrics is a great 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 i, Financial Econometrics: Problems, Models, and Methods has a rating of 2 stars
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Financial Econometrics: Problems, Models, and Methods, Financial econometrics is a great 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 i, Financial Econometrics: Problems, Models, and Methods
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  • Financial Econometrics: Problems, Models, and Methods
  • Written by author Christian Gourieroux
  • Published by Princeton University Press, November 2001
  • Financial econometrics is a great 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 i
  • Financial econometrics is a great 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 i
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Preface
1Introduction1
2Univariate Linear Models: The AR(1) Process and Its Extensions17
3Multivariate Linear Models: VARMA Representation53
4Simultaneity, Recursivity, and Causality Analysis81
5Persistence and Cointegration105
6Conditional Heteroscedasticity: Nonlinear Autoregressive Models, ARCH Models, Stochastic Volatility Models117
7Expectation and Present Value Models151
8Intertemporal Behavior and the Method of Moments173
9Dynamic Factor Models195
10Dynamic Qualitative Processes219
11Diffusion Models241
12Estimation of Diffusion Models285
13Econometrics of Derivatives317
14Dynamic Models for High-Frequency Data351
15Market Indexes409
16Management of Extreme Risks427
References451
Index477


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Financial Econometrics: Problems, Models, and Methods, Financial econometrics is a great 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 i, Financial Econometrics: Problems, Models, and Methods

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Financial Econometrics: Problems, Models, and Methods, Financial econometrics is a great 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 i, Financial Econometrics: Problems, Models, and Methods

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Financial Econometrics: Problems, Models, and Methods, Financial econometrics is a great 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 i, Financial Econometrics: Problems, Models, and Methods

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