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Financial econometrics / Peijie Wang.

By: Language: İngilizce Publisher: New York, NY : Routledge, 2009Edition: 2nd edDescription: xv, 320 p. : ill ; 24 cmISBN:
  • 9780415426695
Subject(s): LOC classification:
  • HG106 .W36 2009
Online resources:
Contents:
I.Stochastic processes and financial data generating processes -- II.Commonly applied statistical distributions and their relevance -- III.Overview of estimation methods -- IV.Unit roots, cointegration and other comovements in time series -- V.Time-varying volatility models:GARCH and stochastic -- VI.Shock persistence and impulse response analysis -- VII.Modelling regime shifts:Markov switching models -- VIII.Present value models and tests for rationality and market efficiency -- IX.State space models and the Kalman filter -- X.Frequency domain analysis of time series -- XI.Limited dependent variables and discrete choice models -- XII.Limited dependent variables and truncated and censored samples -- XIII.Panel data analysis -- XIV.Research tools and sources of information
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Item type Current library Home library Collection Call number Vol info Copy number Status Date due Barcode
Book Book Merkez Kütüphane Genel Koleksiyon / Main Collection Merkez Kütüphane Genel Koleksiyon HG106 .W36 2009 (Browse shelf(Opens below)) 1 1 Available 0040229

I.Stochastic processes and financial data generating processes -- II.Commonly applied statistical distributions and their relevance -- III.Overview of estimation methods -- IV.Unit roots, cointegration and other comovements in time series -- V.Time-varying volatility models:GARCH and stochastic -- VI.Shock persistence and impulse response analysis -- VII.Modelling regime shifts:Markov switching models -- VIII.Present value models and tests for rationality and market efficiency -- IX.State space models and the Kalman filter -- X.Frequency domain analysis of time series -- XI.Limited dependent variables and discrete choice models -- XII.Limited dependent variables and truncated and censored samples -- XIII.Panel data analysis -- XIV.Research tools and sources of information

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