Financial Econometrics: Problems, Models, and Methods 1st edition by Christian Gourieroux, Joann Jasiak – Ebook PDF Instant Download/DeliveryISBN: 0691088721, 978-0691088723
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ISBN-10 : 0691088721
ISBN-13 : 978-0691088723
Author: Christian Gourieroux, Joann Jasiak
Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a fast expansion of financial markets and an increasing variety and complexity of financial products. This has fueled the demand for people with advanced econometrics skills.
For professionals and advanced graduate students pursuing greater expertise in econometric modeling, this is a superb guide to the field’s frontier. With the goal of providing information that is absolutely up-to-date―essential in today’s rapidly evolving financial environment―Gourieroux and Jasiak focus on methods related to foregoing research and those modeling techniques that seem relevant to future advances. They present a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies. Practitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors.
Financial Econometrics: Problems, Models, and Methods 1st Table of contents:
1 Introduction
2 Univariate Linear Models: The AR(l) Process and Its Extensions
3 Multivariate Linear Models: VARMA Representation
4 Simultaneity, Recursivity, and Causality Analysis
5 Persistence and Cointegration
6 Conditional Heteroscedasticity: Nonlinear Autoregressive Models, ARCH Models, Stochastic Volatilit
7 Expectation and Present Value Models
8 Intertemporal Behavior and the Method of Moments
9 Dynamic Factor Models
10 Dynamic Qualitative Processes
11 Diffusion Models
12 Estimation of Diffusion Models
13 Econometrics of Derivatives
14 Dynamic Models for High-Frequency Data
15 Market Indexes
16 Management of Extreme Risks
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Tags: Financial Econometrics, Problems, Models, Methods, Christian Gourieroux, Joann Jasiak