Financial Econometrics Using Stata / Edition 1

by Simona Boffelli, Giovanni Urga

Overview

Financial Econometrics Using Stata is an essential reference for graduate students, researchers, and practitioners who use Stata to perform intermediate or advanced methods. After discussing the characteristics of financial time series, the authors provide introductions to ARMA models, univariate GARCH models, multivariate GARCH models, and applications of these models to financial time series. The last two chapters cover risk management and contagion measures. After a rigorous but intuitive overview, the authors illustrate each method by interpreting easily replicable Stata examples.

Product Details

ISBN-13:	9781597182140
Publisher:	Taylor & Francis
Publication date:	11/01/2016
Pages:	272
Product dimensions:	7.20(w) x 9.20(h) x 0.70(d)

About the Author

Simona Boffelli, PhD, is a quantitative analyst at Fineco Bank in Milan, part of the Unicredit Group. She is a researcher associate to the Department of Management, Economics and Quantitative Methods of Bergamo University in Italy and to the Centre for Econometric Analysis of Cass Business School in London.

Giovanni Urga, PhD, is a professor of finance and econometrics and the director of the Centre for Econometric Analysis at Cass Business School in London, and is a professor of econometrics at the Department of Management, Economics and Quantitative Methods of Bergamo University in Italy.

Table of Contents

Introduction to financial time series. ARMA models. Modeling volatilities, ARCH models, and GARCH models. Multivariate GARCH models. Risk management. Contagion analysis.