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Financial Econometrics : problems, models, and methods.
Appartenance & droits
GOURIEROUX Christian ; JASIAK Joann
2001
513
0691088721
134.96-GOURI
FINANCIAL STATISTICS ; ECONOMETRICS ; MATHEMATICAL STATISTICS ; FINANCIAL MARKET ; MODEL ; ASSETS ; FORECAST ; CAPITAL ASSETS PRICING MODEL
| No. | Call n° | Bar code | Commentary | |
|---|---|---|---|---|
| 1 | [not for loan] | |||
| 2 | [available] |
ISBN 13 : 978-0691088723
Contents : Contents
Preface
1. Introduction
2. Univariate Linear Models: The AR(1) process and Its Extensions
3. Multivariate Linear Models: VARMA Representation
4. Simultaneity, Recursivty, and Casuality Analysis
5. Persistence and Cointegration
6. Conditional Heteroscedasticity: Nonlinear Autoaggressive Models, ARCH Models, Stochastic Volatility Models
7. Expection and Present Value Models
8. Intertemporal Behavior and the Method of Moments
9. Dynamic Factor Models
10. Dynamic Qualitative Processes
11. Diffusion Models
12. Estimation of Diffusion Models
13. Econometrics of Derivatives
14. Dynamic Models for High-Frequency data
15. Market Index
16. Management of Extreme Risks
References
Index
Language : English
Location : Nice Library
Material : Paper
Statement : Présent
Owner : Bibliothèque