Financial Econometrics : : Problems, Models, and Methods / / Joann Jasiak, Christian Gourieroux.
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 f...
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Place / Publishing House: | Princeton, NJ : : Princeton University Press, , [2018] ©2002 |
Year of Publication: | 2018 |
Language: | English |
Series: | Princeton Series in Finance ;
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Gourieroux, Christian, author. aut http://id.loc.gov/vocabulary/relators/aut Financial Econometrics : Problems, Models, and Methods / Joann Jasiak, Christian Gourieroux. Princeton, NJ : Princeton University Press, [2018] ©2002 1 online resource text txt rdacontent computer c rdamedia online resource cr rdacarrier text file PDF rda Princeton Series in Finance ; 2 Frontmatter -- Contents -- Preface -- 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 Volatility Models -- 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 -- References -- Index restricted access http://purl.org/coar/access_right/c_16ec online access with authorization star 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. This authoritative, state-of-the-art reference text is ideal for upper-level graduate students, researchers, and professionals seeking to update their skills and gain greater facility in using econometric models. All will benefit from the emphasis on practical aspects of financial modeling and statistical inference. Doctoral candidates will appreciate the inclusion of detailed mathematical derivations of the deeper results as well as the more advanced problems concerning high-frequency data and risk control. By establishing a link between practical questions and the answers provided by financial and statistical theory, the book also addresses the needs of applied researchers employed by financial institutions. Issued also in print. Mode of access: Internet via World Wide Web. In English. Description based on online resource; title from PDF title page (publisher's Web site, viewed 30. Aug 2021) BUSINESS & ECONOMICS / Economics / General. bisacsh Jasiak, Joann, author. aut http://id.loc.gov/vocabulary/relators/aut Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 9783110442502 print 9780691088723 https://doi.org/10.1515/9780691187020?locatt=mode:legacy https://www.degruyter.com/isbn/9780691187020 Cover https://www.degruyter.com/cover/covers/9780691187020.jpg |
language |
English |
format |
eBook |
author |
Gourieroux, Christian, Gourieroux, Christian, Jasiak, Joann, |
spellingShingle |
Gourieroux, Christian, Gourieroux, Christian, Jasiak, Joann, Financial Econometrics : Problems, Models, and Methods / Princeton Series in Finance ; Frontmatter -- Contents -- Preface -- 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 Volatility Models -- 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 -- References -- Index |
author_facet |
Gourieroux, Christian, Gourieroux, Christian, Jasiak, Joann, Jasiak, Joann, Jasiak, Joann, |
author_variant |
c g cg c g cg j j jj |
author_role |
VerfasserIn VerfasserIn VerfasserIn |
author2 |
Jasiak, Joann, Jasiak, Joann, |
author2_variant |
j j jj |
author2_role |
VerfasserIn VerfasserIn |
author_sort |
Gourieroux, Christian, |
title |
Financial Econometrics : Problems, Models, and Methods / |
title_sub |
Problems, Models, and Methods / |
title_full |
Financial Econometrics : Problems, Models, and Methods / Joann Jasiak, Christian Gourieroux. |
title_fullStr |
Financial Econometrics : Problems, Models, and Methods / Joann Jasiak, Christian Gourieroux. |
title_full_unstemmed |
Financial Econometrics : Problems, Models, and Methods / Joann Jasiak, Christian Gourieroux. |
title_auth |
Financial Econometrics : Problems, Models, and Methods / |
title_alt |
Frontmatter -- Contents -- Preface -- 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 Volatility Models -- 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 -- References -- Index |
title_new |
Financial Econometrics : |
title_sort |
financial econometrics : problems, models, and methods / |
series |
Princeton Series in Finance ; |
series2 |
Princeton Series in Finance ; |
publisher |
Princeton University Press, |
publishDate |
2018 |
physical |
1 online resource Issued also in print. |
contents |
Frontmatter -- Contents -- Preface -- 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 Volatility Models -- 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 -- References -- Index |
isbn |
9780691187020 9783110442502 9780691088723 |
url |
https://doi.org/10.1515/9780691187020?locatt=mode:legacy https://www.degruyter.com/isbn/9780691187020 https://www.degruyter.com/cover/covers/9780691187020.jpg |
illustrated |
Not Illustrated |
dewey-hundreds |
300 - Social sciences |
dewey-tens |
330 - Economics |
dewey-ones |
330 - Economics |
dewey-full |
330/.01/5195 |
dewey-sort |
3330 11 45195 |
dewey-raw |
330/.01/5195 |
dewey-search |
330/.01/5195 |
doi_str_mv |
10.1515/9780691187020?locatt=mode:legacy |
oclc_num |
1082205180 |
work_keys_str_mv |
AT gourierouxchristian financialeconometricsproblemsmodelsandmethods AT jasiakjoann financialeconometricsproblemsmodelsandmethods |
status_str |
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ids_txt_mv |
(DE-B1597)518237 (OCoLC)1082205180 |
carrierType_str_mv |
cr |
hierarchy_parent_title |
Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 |
is_hierarchy_title |
Financial Econometrics : Problems, Models, and Methods / |
container_title |
Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 |
author2_original_writing_str_mv |
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