Financial Econometrics

Name: Financial Econometrics
Brand: Taylor & Francis
SKU: 9780415426701
Price: 447.0 NZD
Availability: InStock

By Peijie Wang

Series: Routledge Advanced Texts in Economics and Finance

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Summary

Financial Econometrics by Peijie Wang offers a comprehensive toolkit for students wishing to deepen their understanding of financial data modelling and analysis. This second edition explores key econometric techniques including time series models, GARCH volatility models, Markov switching, spectral analysis, and panel data methods. Updated chapters introduce limited dependent variables and advanced panel data analysis, making it an essential resource for graduate and advanced undergraduate students in econometrics and finance.
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Format: Hardback

$447⁰⁰

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Financial Econometrics

$447⁰⁰

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Ideal for graduate and advanced undergraduate students studying econometrics, finance, and related fields seeking practical and theoretical insights into financial data analysis.

An essential toolkit for all students wishing to know more about the modelling of financial time series, this second edition, including new chapters which cover limited dependent variables and panel data, is a key resource for all graduate and advanced undergraduate students of econometrics and finance.

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 of Financial Econometrics 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.

Series: Routledge Advanced Texts in Economics and Finance

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Financial Econometrics

By Peijie Wang

Hardback

$447⁰⁰

Available
Ships in 4-6 weeks

Book Details

INFORMATION

ISBN: 9780415426701

Publisher: Taylor & Francis Ltd

Format: Hardback

Date Published: 19 September 2008

Country: United Kingdom

Imprint: Routledge

Illustration: 41 Tables, black and white; 26 Line drawings, black and white; 26 Illustrations, black and white

Audience: Tertiary education

DIMENSIONS

Width: 156.0mm

Height: 234.0mm

Weight: 780g

Pages: 320

Collections

Education & Reference Finance & Economics Finance & Investment Non-Fiction Peijie Wang Science & Nature Series: Routledge Advanced Texts in Economics and Finance

About the Author

Peijie Wang is Professor of Finance at IAeSEG 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.

Financial Econometrics