Financial Econometrics: 1st Edition (Paperback) book cover

Financial Econometrics

1st Edition

By Peijie Wang

Routledge

192 pages

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Paperback: 9780415224550
pub: 2002-11-21
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Description

This book which provides an overview of contemporary topics related to the modelling of financial time series, is set against a backdrop of rapid expansions of interest in both the models themselves and the financial problems to which they are applied.

This excellent textbook covers all the major developments in the area in recent years in an informative as well as succinct way.

Refreshingly, every chapter has a section of two or more examples and a section of empirical literature, offering the reader the opportunity to practice the kind of research going on in the area. This approach helps the reader develop interest, confidence and momentum in learning contemporary econometric topics

Table of Contents

1. Introduction 2. Stochastic Models and Processes 3. The Behaviour of Security Prices 4. Modelling Long-run Relationships in Financial Time Series 5. Modelling Volatility in Financial Time Series 6. Modelling Regime Shifts 7. The Present Value Model, Rationality, and Market Efficiency 8. The Kalman Filter 9. Frequency Domain Analysis 10. Financial Tools 11. Summary

About the Author

Peijie Wang has taught numerous finance, accounting, and investment courses at postgraduate, undergraduate and MBA levels and supervised various PhD theses and Masters dissertations at City University Business School, University of Manchester, Manchester Business School, UMIST and other institutions. He has published widely in major finance, economics, real estate and statistics journals.

About the Series

Routledge Advanced Texts in Economics and Finance

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Subject Categories

BISAC Subject Codes/Headings:
BUS000000
BUSINESS & ECONOMICS / General
BUS021000
BUSINESS & ECONOMICS / Econometrics
BUS069000
BUSINESS & ECONOMICS / Economics / General
BUS069030
BUSINESS & ECONOMICS / Economics / Theory