Title:
Financial econometrics : from basics to advanced modeling techniques
Author:
Rachev, S. T. (Svetlozar Todorov)
ISBN:
9780471784500
Publication Information:
Hoboken, N.J. : Wiley, ©2007.
Physical Description:
xx, 553 pages : illustrations ; 24 cm.
Series:
Frank J. Fabozzi series
Frank J. Fabozzi series.
Contents:
Financial econometrics : scope and methods -- Review of probability and statistics -- Regression analysis : theory and estimation -- Selected topics in regression analysis -- Regression applications in finance -- Modeling univariate time series -- Approaches to ARIMA modeling and forecasting -- Autoregressive conditional heteroskedastic models -- Vector autoregressive models I -- Vector autoregressive models II -- Cointegration and state space models -- Robust estimation -- Principal components analysis and factor analysis -- Heavy-tailed and stable distributions in financial econometrics -- ARMA and ARCH models with infinite-variance innovations -- Appendix : Monthly returns for 20 stocks : December 2000-November 2005.
Added Author:
Electronic Access:
E-bookE-book - Full text from Ebook Central
Table of contents http://catdir.loc.gov/catdir/toc/fy0707/2007295510.html
Contributor biographical information http://catdir.loc.gov/catdir/enhancements/fy0741/2007295510-b.html
Publisher description http://catdir.loc.gov/catdir/enhancements/fy0741/2007295510-d.html