Financial Econometrics / Edition 1

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:	9780415224543
Publisher:	Taylor & Francis
Publication date:	11/21/2002
Series:	Routledge Advanced Texts in Economics and Finance
Pages:	192
Product dimensions:	6.12(w) x 9.19(h) x (d)
Age Range:	18 Years

About the Author

Peijie Wang has taught numerous finance, accounting, and investment courses at postgraduate, undergraduate and MBA levels and supervised various PhD theses and Masters dissertations at City University Business School, University of Manchester, Manchester Business School, UMIST and other institutions. He has published widely in major finance, economics, real estate and statistics journals.

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