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Author: Peter Reinhard Hansen
Publisher: Oxford University Press, USA
Published: 1998
Total Pages: 178
ISBN-13: 9780198776086
DOWNLOAD EBOOKAimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of cointegration analysis.
Author: Bernhard Pfaff
Publisher: Springer Science & Business Media
Published: 2008-09-03
Total Pages: 193
ISBN-13: 0387759670
DOWNLOAD EBOOKThis book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Author: Søren Johansen
Publisher: Oxford University Press, USA
Published: 1995
Total Pages: 280
ISBN-13: 0198774508
DOWNLOAD EBOOKThis monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
Author: Neil Shephard
Publisher: Oxford University Press, USA
Published: 2005
Total Pages: 534
ISBN-13: 0199257205
DOWNLOAD EBOOKStochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This work brings together some of the main papers that have influenced this field, andshows that the development of this subject has been highly multidisciplinary.
Author: Anindya Banerjee
Publisher:
Published: 2003
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAuthor: Christopher Dougherty
Publisher: Oxford University Press, USA
Published: 2011-03-03
Total Pages: 593
ISBN-13: 0199567085
DOWNLOAD EBOOKTaking a modern approach to the subject, this text provides students with a solid grounding in econometrics, using non-technical language wherever possible.
Author: John D. Levendis
Publisher: Springer
Published: 2019-01-31
Total Pages: 409
ISBN-13: 3319982826
DOWNLOAD EBOOKIn this book, the author rejects the theorem-proof approach as much as possible, and emphasize the practical application of econometrics. They show with examples how to calculate and interpret the numerical results. This book begins with students estimating simple univariate models, in a step by step fashion, using the popular Stata software system. Students then test for stationarity, while replicating the actual results from hugely influential papers such as those by Granger and Newbold, and Nelson and Plosser. Readers will learn about structural breaks by replicating papers by Perron, and Zivot and Andrews. They then turn to models of conditional volatility, replicating papers by Bollerslev. Finally, students estimate multi-equation models such as vector autoregressions and vector error-correction mechanisms, replicating the results in influential papers by Sims and Granger. The book contains many worked-out examples, and many data-driven exercises. While intended primarily for graduate students and advanced undergraduates, practitioners will also find the book useful.
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
Published: 2014-03-04
Total Pages: 433
ISBN-13: 1118727231
DOWNLOAD EBOOKAn accessible guide to the growing field of financial econometrics As finance and financial products have become more complex, financial econometrics has emerged as a fast-growing field and necessary foundation for anyone involved in quantitative finance. The techniques of financial econometrics facilitate the development and management of new financial instruments by providing models for pricing and risk assessment. In short, financial econometrics is an indispensable component to modern finance. The Basics of Financial Econometrics covers the commonly used techniques in the field without using unnecessary mathematical/statistical analysis. It focuses on foundational ideas and how they are applied. Topics covered include: regression models, factor analysis, volatility estimations, and time series techniques. Covers the basics of financial econometrics—an important topic in quantitative finance Contains several chapters on topics typically not covered even in basic books on econometrics such as model selection, model risk, and mitigating model risk Geared towards both practitioners and finance students who need to understand this dynamic discipline, but may not have advanced mathematical training, this book is a valuable resource on a topic of growing importance.
Author: Christian Gouriéroux
Publisher: OUP Oxford
Published: 1997-01-09
Total Pages: 190
ISBN-13: 019152509X
DOWNLOAD EBOOKThis book introduces a new generation of statistical econometrics. After linear models leading to analytical expressions for estimators, and non-linear models using numerical optimization algorithms, the availability of high- speed computing has enabled econometricians to consider econometric models without simple analytical expressions. The previous difficulties presented by the presence of integrals of large dimensions in the probability density functions or in the moments can be circumvented by a simulation-based approach. After a brief survey of classical parametric and semi-parametric non-linear estimation methods and a description of problems in which criterion functions contain integrals, the authors present a general form of the model where it is possible to simulate the observations. They then move to calibration problems and the simulated analogue of the method of moments, before considering simulated versions of maximum likelihood, pseudo-maximum likelihood, or non-linear least squares. The general principle of indirect inference is presented and is then applied to limited dependent variable models and to financial series.
Author: R. Carter Hill
Publisher:
Published: 2017
Total Pages:
ISBN-13: 9781119320951
DOWNLOAD EBOOKRevised edition of the authors' Principles of econometrics, c2011.
