Financial econometrics : from basics to advanced modeling techniques / Svetlozar T. Rachev [and others].
Material type:
TextSeries: Frank J. Fabozzi seriesPublisher: Hoboken, N.J. : Wiley, [2007]Copyright date: ©2007Description: xx, 553 pages : illustrations ; 24 cmContent type: - text
- unmediated
- volume
- 0471784508
- 9780471784500
- 332.015195 22
- HB139 .F56 2007
| Item type | Current library | Call number | Copy number | Status | Date due | Barcode | |
|---|---|---|---|---|---|---|---|
| Book | City Campus City Campus Main Collection | 332.015195 FIN (Browse shelf(Opens below)) | 1 | Available | A430938B |
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| 332.015195 COR Optimization methods in finance / | 332.015195 EPP Quantitative finance : its development, mathematical foundations, and current scope / | 332.015195 FIN Financial markets and the real economy / | 332.015195 FIN Financial econometrics : from basics to advanced modeling techniques / | 332.015195 GIB Experiments in quantitative finance / | 332.015195 GOO The mathematics of finance : modeling and hedging / | 332.015195 HAN Handbook of financial econometrics / |
Includes bibliographical references and index.
Ch. 1. Financial econometrics : scope and methods -- Ch. 2. Review of probability and statistics -- Ch. 3. Regression analysis : theory and estimation -- Ch. 4. Selected topics in regression analysis -- Ch. 5. Regression applications in finance -- Ch. 6. Modeling univariate time series -- Ch. 7. Approaches to ARIMA modeling and forecasting -- Ch. 8. Autoregressive conditional heteroskedastic models -- Ch. 9. Vector autoregressive models I -- Ch. 10. Vector autoregressive models II -- Ch. 11. Cointegration and state space models -- Ch. 12. Robust estimation -- Ch. 13. Principal components analysis and factor analysis -- Ch. 14. Heavy-talled and stable distributions in financial econometrics -- Ch. 15. ARMA and ARCH models with infinite-variance innovations -- App. Monthly returns for 20 stocks : December 2000-November 2005.
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