Ramaprasad Bhar, Shigeyuki Hamori

Empirical Techniques in Finance (eBook, PDF)

• Format: PDF

Produktbeschreibung

The rapid advances in financial technology in the past decade have led to a commensurate increase in sophistication for modeling techniques researchers need to understand financial markets. This book offers advanced modelling techniques to analyse financial and economic systems, emphasizing model implementation using commonly used software systems. It shows readers how to explore complex structures without getting inundated with the underlying mathematics.

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Produktdetails

• Verlag: Springer Berlin Heidelberg
• Seitenzahl: 243
• Erscheinungstermin: 28. Dezember 2005
• Englisch
• ISBN-13: 9783540276425
• Artikelnr.: 37367006

Autorenporträt

Ramaprasad Bhar, The University of New South Wales, Sydney, Australia / Shigeyuki Hamori, Kobe University, Kobe, Japan

Inhaltsangabe

Introduction.
- Basic Probability Theory and Markov Chains.
- Estimation Techniques.
- Non-Parametric Method of Estimation.
- Unit Root, Cointegration and Related Issues.
- VAR Modeling.
- Time Varying Volatility Models.
- State-Space Models (I).
- State-Space Models (II).
- Discrete Time Real Asset Valuation Model.
- Discrete Time Model of Interest Rate.
- Global Bubbles in Stock Markets and Linkages.
- Forward FX Market and the Risk Premium.
- Equity Risk Premia from Derivative Prices.
- Index.