Financial Econometrics

✍ Scribed by Peijie Wang

• Publisher: Routledge
• Year: 2008
• Tongue: English
• Leaves: 337
• Series: Routledge Advanced Texts in Economics and Finance
• Edition: 2nd Revised edition
• Category: Library

✦ Synopsis

This book provides an essential toolkit for all students wishing to know more about the modelling and analysis of financial data. Applications of econometric techniques are becoming increasingly common in the world of finance and this second edition of an established text covers the following key themes:

- unit roots, cointegration and other developments in the study of time series models

- time varying volatility models of the GARCH type and the stochastic volatility approach

- analysis of shock persistence and impulse responses

- Markov switching and Kalman filtering

- spectral analysis

- present value relations and rationality

- discrete choice models

- analysis of truncated and censored samples

- panel data analysis.

This updated edition includes new chapters which cover limited dependent variables and panel data. It continues to be an essential guide for all graduate and advanced undergraduate students of econometrics and finance.

✦ Table of Contents

Book Cover......Page 1
Title......Page 4
Copyright......Page 5
Contents......Page 6
Figures......Page 10
Tables......Page 11
Acknowledgements......Page 13
Preface......Page 15
1 Stochastic processes and financial data generating processes......Page 18
2 Commonly applied statistical distributions and their relevance......Page 32
3 Overview of estimation methods......Page 47
4 Unit roots, cointegration and other comovements in time series......Page 62
5 Time-varying volatility models: GARCH and stochastic volatility......Page 83
6 Shock persistence and impulse response analysis......Page 106
7 Modelling regime shifts: Markov switching models......Page 130
8 Present value models and tests for rationality and market efficiency......Page 148
9 State space models and the Kalman filter......Page 168
10 Frequency domain analysis of time series......Page 185
11 Limited dependent variables and discrete choice models......Page 215
12 Limited dependent variables and truncated and censored samples......Page 243
13 Panel data analysis......Page 266
14 Research tools and sources of information......Page 306
Index......Page 330