Peijie Wang

Financial Econometrics (eBook, ePUB)

• Format: ePub

Produktbeschreibung

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 develop

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Produktdetails

• Verlag: Taylor & Francis eBooks
• Seitenzahl: 336
• Erscheinungstermin: 19. September 2008
• Englisch
• ISBN-13: 9781134091454
• Artikelnr.: 38243084

Autorenporträt

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.

Inhaltsangabe

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