Financial Econometrics

by Peijie Wang

Overview

This book - an overview of contemporary topics related to the modeling of financial time series - is set against a backdrop of rapid expansions of interest in both the models themselves and the financial problems to which they are applied. Understanding Financial Econometrics forms part of a new series of upper level textbooks,

Product Details

ISBN-13:	9781134591114
Publisher:	Taylor & Francis
Publication date:	08/16/2005
Series:	ISSN
Sold by:	Barnes & Noble
Format:	eBook
Pages:	192
File size:	4 MB

About the Author

Peijie Wang is Professor of Finance at IÉSEG School of Management, Catholic University of Lille. He is author of An Econometric Analysis of the Real Estate Market (Routledge 2001) and The Economics of Foreign Exchange and Global Finance.

Table of Contents

1. Introduction
2. Stochastic Models and Processes
3. The Behaviour of Security Prices
4. Modeling Long-run Relationships in Financial Time Series
5. Modeling Volatility in Financial Time Series
6. Modeling Regime Shifts
7. The Present Value Model, Rationality, and Market Efficiency
8. The Kalman Filter
9. Frequency Domain Analysis
10. Financial Tools
11. Summary

Editorial 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

From the Publisher