Financial Econometrics : : Problems, Models, and Methods /

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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Bibliographic Details
Superior document:Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013
VerfasserIn:
Gourieroux, Christian,
Jasiak, Joann,
Place / Publishing House:Princeton, NJ : : Princeton University Press, , [2018]
©2002
Year of Publication:2018
Language:English
Series:Princeton Series in Finance ; 2
Online Access:
Physical Description:1 online resource
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Table of 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

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