Lien ebook : https://bibliotheque.univ-catholille.fr/Default/doc/nlebk/19...

eISBN : 9780691187020

Sommaire :
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

Langue : Anglais

Collection : PRINCETON SERIES IN FINANCE

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque