Financial Econometrics  book cover
1st Edition

Financial Econometrics

ISBN 9780415426695
Published November 21, 2008 by Routledge
336 Pages 26 B/W Illustrations

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Book Description

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.

Table of Contents

1. Stochastic Processes and Financial Data Generating Processes  2. Commonly Applied Statistical Distributions and their Relevance  3. Overview of Estimation Methods  4. Unit Roots, Cointegration and other Comovements in Time Series  5. Time-Varying Volatility Models: GARCH and Stochastic Volatility  6. Shock Persistence and Impulse Response Analysis  7. Modelling Regime Shifts: Markov Switching Models  8. Present Value Models and Tests for Rationality and Market Efficiency  9. State Space Models and the Kalman Filter  10. Frequency Domain Analysis of Time Series  11. Limited Dependent Variables and Discrete Choice Models  12. Limited Dependent Variables and Truncated and Censored Samples  13. Panel Data Analysis  14. Research Tools and Sources of Information

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Peijie Wang is Professor of Finance at IÉSEG School of Management, Catholic University of Lille. He is author of An Econometric Analysis of the Real Estate Market (Routledge 2001) and The Economics of Foreign Exchange and Global Finance.


"…The author aimed at bringing together, to a single research-oriented volume, various topics concerning the modelling and analysis of financial data, which were previously scattered in different books. …The main difference from the first edition is in the time series modelling, but also this second edition considers discrete choice models, estimation of censored and truncated samples and other topics which developed significantly since the first edition. … The unique feature of the book is that each chapter has a section or two of examples and cases, and a section of empirical literature. This will give a potential reader an opportunity both to understand better the theory and to practice in applying this theory to real models. …"
—Yuliya S. Mishura, Zentralblatt MATH 1171