TY  - BOOK
AU  - Rachev,S.T.
TI  - Financial econometrics: from basics to advanced modeling techniques 
T2  - Frank J. Fabozzi series
SN  - 0471784508
AV  - HB139 .F56 2007
U1  - 332.015195 22
PY  - 2007///]
CY  - Hoboken, N.J.
PB  - Wiley
KW  - Econometrics
KW  - Finance
KW  - Mathematical models
N1  - 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
ER  -