Christian Gourieroux, Joann Jasiak

Financial Econometrics

Problems, Models, and Methods

• Broschiertes Buch

Produktbeschreibung

Financial econometrics is a great success story in economics. Intended for professionals and advanced graduate students pursuing expertise in econometric modeling, this guide focuses on methods related to foregoing research and those modeling techniques that seem relevant to future advances.

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Produktdetails

• Princeton Series in Finance
• Verlag: Princeton University Press
• Seitenzahl: 528
• Erscheinungstermin: 13. Dezember 2022
• Englisch
• Abmessung: 233mm x 153mm x 32mm
• Gewicht: 820g
• ISBN-13: 9780691242361
• ISBN-10: 0691242364
• Artikelnr.: 63765084

Autorenporträt

Christian Gourieroux and Joann Jasiak

Inhaltsangabe

Preface vii
1. Introcduction 1
2. Univariate Linear Models: The AR(1) process and Its Extensions 17
3. Multivariate Linear Models: VARMA Representation 53
4. Simultaneity, Recursivty, and Casuality Analysis 81
5. Persistence and Cointegration 105
6. Conditional Heteroscedasticity: Nonlinear Autoaggressive Models, ARCH
Models, Stochastic Volatility Models 117
7. Expection and Present Value Models 151
8. Intertemporal Behavior and the Method of Moments 173
9. Dynamic Factor Models 195
10. Dynamic Qualitative Proceses 219
11. Diffusion Models 241
12. Estimation of Diffusion Models 285
13. Econometrics of Derivatives 317
14. Dynamic Models for High-Freguency data 351
15. Market Indexes 247
16. Management of Extreme Risks 427
References 451
Index 477