Your Waterstones card is changing, introducing...
TELL ME MORE
Financial Econometrics - Routledge Advanced Texts in Economics and Finance (Paperback)
  • Financial Econometrics - Routledge Advanced Texts in Economics and Finance (Paperback)
zoom

Financial Econometrics - Routledge Advanced Texts in Economics and Finance (Paperback)

(author)
£51.99
Paperback 320 Pages / Published: 19/09/2008
  • Publisher out of stock

Currently unavailable to order

This product is currently unavailable.

  • This item has been added to your basket

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.

Publisher: Taylor & Francis Ltd
ISBN: 9780415426695
Number of pages: 320
Weight: 522 g
Dimensions: 235 x 159 x 20 mm


MEDIA REVIEWS

"...The author aimed at bringing together, to a single research-oriented volume, various topics concerning the modelling and analysis of financial data, which were previously scattered in different books. ...The main difference from the first edition is in the time series modelling, but also this second edition considers discrete choice models, estimation of censored and truncated samples and other topics which developed significantly since the first edition. ... The unique feature of the book is that each chapter has a section or two of examples and cases, and a section of empirical literature. This will give a potential reader an opportunity both to understand better the theory and to practice in applying this theory to real models. ..."
-Yuliya S. Mishura, Zentralblatt MATH 1171

You may also be interested in...

Mostly Harmless Econometrics
Added to basket
Introductory Econometrics for Finance
Added to basket
Economics After the Crisis
Added to basket
Naked Statistics
Added to basket
£12.99
Paperback
Econometrics
Added to basket
£38.00
Hardback
Almost All about Unit Roots
Added to basket
Introductory Econometrics
Added to basket
Econometric Modelling with Time Series
Added to basket
The Skeptical Environmentalist
Added to basket
Mathematical Economics
Added to basket
Introductory Econometrics for Finance
Added to basket
Inequality and Instability
Added to basket

Reviews

Please sign in to write a review

Your review has been submitted successfully.