The Econometric Modelling Of Financial Time Series

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The Econometric Modelling Of Financial Time Series

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Author : Terence C. Mills
language : en
Publisher: Cambridge University Press
Release Date : 2008-03-20

The Econometric Modelling Of Financial Time Series written by Terence C. Mills and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-03-20 with Business & Economics categories.

Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.

Modeling Financial Time Series With S Plus

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Author : Eric Zivot
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-11-11

Modeling Financial Time Series With S Plus written by Eric Zivot and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-11 with Business & Economics categories.

The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.

The Econometric Modelling Of Financial Time Series

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Author : Terence C. Mills
language : en
Publisher:
Release Date : 1993

The Econometric Modelling Of Financial Time Series written by Terence C. Mills and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Business & Economics categories.

Provides detailed coverage of the models currently being used in the empirical analysis of financial markets.

The Econometric Modelling Of Financial Time Series

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Author : Terence C. Mills
language : en
Publisher:
Release Date : 2008

The Econometric Modelling Of Financial Time Series written by Terence C. Mills and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Finance categories.

The latest research techniques and findings relating to the empirical analysis of financial markets. This best-selling graduate textbook provides detailed coverage of the latest research techniques and findings relating to the empirical analysis of financial markets. This third edition, first published in 2008, contains a wealth of new material reflecting the developments of the last decade, including a new chapter on nonlinearity and its testing. Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos and first published in 2008, contains a wealth of new material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.

The Econometric Modelling Of Financial Time Series

DOWNLOAD
Author : Terence C. Mills
language : en
Publisher:
Release Date : 1993

The Econometric Modelling Of Financial Time Series written by Terence C. Mills and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.

Modelling Financial Time Series

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Author : Stephen J. Taylor
language : en
Publisher: World Scientific
Release Date : 2008

Modelling Financial Time Series written by Stephen J. Taylor and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business & Economics categories.

This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts. This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends. Sample Chapter(s). Chapter 1: Introduction (1,134 KB). Contents: Features of Financial Returns; Modelling Price Volatility; Forecasting Standard Deviations; The Accuracy of Autocorrelation Estimates; Testing the Random Walk Hypothesis; Forecasting Trends in Prices; Evidence Against the Efficiency of Futures Markets; Valuing Options; Appendix: A Computer Program for Modelling Financial Time Series. Readership: Academic researchers in finance & economics; quantitative analysts.

Analysis Of Financial Time Series

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Author : Ruey S. Tsay
language : en
Publisher: John Wiley & Sons
Release Date : 2005-09-15

Analysis Of Financial Time Series written by Ruey S. Tsay and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-09-15 with Business & Economics categories.

Provides statistical tools and techniques needed to understandtoday's financial markets The Second Edition of this critically acclaimed text provides acomprehensive and systematic introduction to financial econometricmodels and their applications in modeling and predicting financialtime series data. This latest edition continues to emphasizeempirical financial data and focuses on real-world examples.Following this approach, readers will master key aspects offinancial time series, including volatility modeling, neuralnetwork applications, market microstructure and high-frequencyfinancial data, continuous-time models and Ito's Lemma, Value atRisk, multiple returns analysis, financial factor models, andeconometric modeling via computation-intensive methods. The author begins with the basic characteristics of financialtime series data, setting the foundation for the three maintopics: Analysis and application of univariate financial timeseries Return series of multiple assets Bayesian inference in finance methods This new edition is a thoroughly revised and updated text,including the addition of S-Plus® commands and illustrations.Exercises have been thoroughly updated and expanded and include themost current data, providing readers with more opportunities to putthe models and methods into practice. Among the new material addedto the text, readers will find: Consistent covariance estimation under heteroscedasticity andserial correlation Alternative approaches to volatility modeling Financial factor models State-space models Kalman filtering Estimation of stochastic diffusion models The tools provided in this text aid readers in developing adeeper understanding of financial markets through firsthandexperience in working with financial data. This is an idealtextbook for MBA students as well as a reference for researchersand professionals in business and finance.

Nonlinear Econometric Modeling In Time Series

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Author : William A. Barnett
language : en
Publisher: Cambridge University Press
Release Date : 2000-05-22

Nonlinear Econometric Modeling In Time Series written by William A. Barnett and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-05-22 with Business & Economics categories.

Nonlinear Econometric Modeling in Time Series presents the more recent literature on nonlinear time series. Specific topics covered with respect to nonlinearity include cointegration tests, risk-related asymmetries, structural breaks and outliers, Bayesian analysis with a threshold, consistency and asymptotic normality, asymptotic inference and error-correction models. With a world-class panel of contributors, this volume addresses topics with major applications for fields such as foreign-exchange markets and interest rate analysis. Eleventh in this series of international symposia, this volume is also part of the European Conference Series in Quantitative Economics and Econometrics (EC)2.

Analysis Of Financial Time Series

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Author : Mr. Rohit Manglik
language : en
Publisher: EduGorilla Publication
Release Date : 2024-07-20

Analysis Of Financial Time Series written by Mr. Rohit Manglik and has been published by EduGorilla Publication this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-07-20 with Business & Economics categories.

EduGorilla Publication is a trusted name in the education sector, committed to empowering learners with high-quality study materials and resources. Specializing in competitive exams and academic support, EduGorilla provides comprehensive and well-structured content tailored to meet the needs of students across various streams and levels.

Financial Data Analytics

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Author : Sinem Derindere Köseoğlu
language : en
Publisher: Springer Nature
Release Date : 2022-04-25

Financial Data Analytics written by Sinem Derindere Köseoğlu and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-04-25 with Business & Economics categories.

​This book presents both theory of financial data analytics, as well as comprehensive insights into the application of financial data analytics techniques in real financial world situations. It offers solutions on how to logically analyze the enormous amount of structured and unstructured data generated every moment in the finance sector. This data can be used by companies, organizations, and investors to create strategies, as the finance sector rapidly moves towards data-driven optimization. This book provides an efficient resource, addressing all applications of data analytics in the finance sector. International experts from around the globe cover the most important subjects in finance, including data processing, knowledge management, machine learning models, data modeling, visualization, optimization for financial problems, financial econometrics, financial time series analysis, project management, and decision making. The authors provide empirical evidence as examples of specific topics. By combining both applications and theory, the book offers a holistic approach. Therefore, it is a must-read for researchers and scholars of financial economics and finance, as well as practitioners interested in a better understanding of financial data analytics.