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Book Categories |
Preface | ||
1 | Introduction | 1 |
2 | Univariate Linear Models: The AR(1) Process and Its Extensions | 17 |
3 | Multivariate Linear Models: VARMA Representation | 53 |
4 | Simultaneity, Recursivity, and Causality Analysis | 81 |
5 | Persistence and Cointegration | 105 |
6 | Conditional Heteroscedasticity: Nonlinear Autoregressive Models, ARCH Models, Stochastic Volatility Models | 117 |
7 | Expectation and Present Value Models | 151 |
8 | Intertemporal Behavior and the Method of Moments | 173 |
9 | Dynamic Factor Models | 195 |
10 | Dynamic Qualitative Processes | 219 |
11 | Diffusion Models | 241 |
12 | Estimation of Diffusion Models | 285 |
13 | Econometrics of Derivatives | 317 |
14 | Dynamic Models for High-Frequency Data | 351 |
15 | Market Indexes | 409 |
16 | Management of Extreme Risks | 427 |
References | 451 | |
Index | 477 |
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