000			03380cam a22004334i 4500
005			20221101222756.0
008			081107s2009 enka b 001 0 eng d
010			_a 2008004917
011			_aBIB MATCHES WORLDCAT
020			_a0415426707 _qhbk.
020			_a9780415426701 _qhbk.
020			_a0415426693 _qpbk.
020			_a9780415426695 _qpbk.
035			_a(OCoLC)176919801
040			_aDLC _beng _erda _cDLC _dBTCTA _dBAKER _dYDXCP _dOCLCG _dBWKUK _dBWK _dBWX _dCDX _dATU
050	0	0	_aHG106 _b.W36 2009
082	0	0	_a332.015195 _222
100	1		_aWang, Peijie, _d1965- _eauthor. _9244954
245	1	0	_aFinancial econometrics / _cPeijie Wang.
250			_aSecond edition.
264		1	_aLondon ; _aNew York : _bRoutledge, _c2009.
300			_axv, 320 pages : _billustrations ; _c24 cm.
336			_atext _btxt _2rdacontent
337			_aunmediated _bn _2rdamedia
338			_avolume _bnc _2rdacarrier
490	1		_aRoutledge advanced texts in economics and finance
504			_aIncludes bibliographical references and index.
505	0	0	_g1. _tStochastic Processes and Financial Data Generating Processes -- _g2. _tCommonly Applied Statistical Distributions and their Relevance -- _g3. _tOverview of Estimation Methods -- _g4. _tUnit Roots, Cointegration and other Comovements in Time Series -- _g5. _tTime-Varying Volatility Models: GARCH and Stochastic Volatility -- _g6. _tShock Persistence and Impulse Response Analysis -- _g7. _tModelling Regime Shifts: Markov Switching Models -- _g8. _tPresent Value Models and Tests for Rationality and Market Efficiency -- _g9. _tState Space Models and the Kalman Filter -- _g10. _tFrequency Domain Analysis of Time Series -- _g11. _tLimited Dependent Variables and Discrete Choice Models -- _g12. _tLimited Dependent Variables and Truncated and Censored Samples -- _g13. _tPanel Data Analysis -- _g14. _tResearch Tools and Sources of Information.
520			_a"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."--Publisher's website.
588			_aMachine converted from AACR2 source record.
650		0	_aFinance _xEconometric models _9796120
650		0	_aTime-series analysis _9325098
650		0	_aStochastic processes. _9324524
830		0	_aRoutledge advanced texts in economics and finance. _91052500
907			_a.b11592242 _b20-03-18 _c27-10-15
942			_cB
945			_a332.015195 WAN _g1 _iA477468B _j0 _lcmain _o- _p$69.98 _q- _r- _s- _t0 _u3 _v0 _w0 _x1 _y.i12940999 _z29-10-15
998			_a(2)b _a(2)c _b20-03-18 _cm _da _feng _genk _h0
999			_c1202136 _d1202136