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.
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.
Christian Gourieroux is Director of the Laboratory for Finance and Insurance at the Center for Research in Economics and Statistics (CREST) in Paris. He is the coauthor of Statistics and Econometric Models, Simulation Based Econometric Methods, and Time Series and Dynamic Models. Joann Jasiak is Associate Professor in the Department of Economics, York University, Toronto.
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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