Overview
This book provides an essential toolkit for all students wishing to know more about the modelling and analysis of financial data. Applications of econometric techniques are becoming increasingly common in the world of finance and this second edition of an established text covers the following key themes: - unit roots, cointegration and other developments in the study of time series models - time varying volatility models of the GARCH type and the stochastic volatility approach - analysis of shock persistence and impulse responses - Markov switching and Kalman filtering - spectral analysis - present value relations and rationality - discrete choice models - analysis of truncated and censored samples - panel data analysis. This updated edition includes new chapters which cover limited dependent variables and panel data. It continues to be an essential guide for all graduate and advanced undergraduate students of econometrics and finance.
Full Product Details
Author: Peijie Wang (University of Plymouth, UK)
Publisher: Taylor & Francis Ltd
Imprint: Routledge
Edition: 2nd Revised edition
Volume: v. 10
Dimensions:
Width: 15.60cm
, Height: 2.30cm
, Length: 23.40cm
Weight: 0.780kg
ISBN: 9780415426701
ISBN 10: 0415426707
Pages: 320
Publication Date: 19 September 2008
Audience:
College/higher education
,
Tertiary & Higher Education
,
Undergraduate
Format: Hardback
Publisher's Status: Active
Availability: In Print
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.
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
...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
Author Information
Peijie Wang is Professor of Finance at IAeSEG School of Management, Catholic University of Lille. He is author of An Econometric Analysis of the Real Estate Market (Routledge 2001) and The Economics of Foreign Exchange and Global Finance.
