Financial econometrics : from basics to advanced modeling techniques /

• Άλλοι συγγραφείς: Rachev, S. T. (Svetlozar Todorov) (συγγραφέας.)
• Μορφή: Βιβλίο
• Γλώσσα: English
• Έκδοση: Hoboken, N.J. : Wiley ; c2007.
• Σειρά: Frank J. Fabozzi series
• Θέματα: Οικονομία > Μαθηματικά μοντέλα

Πίνακας περιεχομένων:

• Preface
• Abbreviations and Acronyms
• About the Authors
• Chapter 1: Financial Econometrics: Scope and Methods
• Chapter 2: Review of Probability and Statistics
• Chapter 3: Regression Analysis: Theory and Estimation
• Chapter 4: Selected Topics in Regression Analysis
• Chapter 5: Regression Applications in Finance
• Chapter 6: Modeling Univariate Time Series
• Chapter 7: Approaches to ARIMA Modeling and Forecasting
• Chapter 8: Autoregressive Conditional Heteroskedastic Models
• Chapter 9: Vector Autoregressive Models I
• Chapter 10Vector Autoregressive Models II
• Chapter11Cointegration and State Space Models
• Chapter 12 Robust Estimation
• Chapter 13 Principal Components Analysis and Factor Analysis
• Chapter 14 Heavy-Tailed and Stable Distributions In Financial Econometrics
• Chapter 15 ARMA and ARCH Models with Infinite-Variance Innovations
• Index.