The Econometric Modelling Of Financial Time Series
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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: 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.
Econometric Modelling With Time Series
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Author : Vance Martin
language : en
Publisher: Cambridge University Press
Release Date : 2013
Econometric Modelling With Time Series written by Vance Martin 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 2013 with Business & Economics categories.
"Maximum likelihood estimation is a general method for estimating the parameters of econometric models from observed data. The principle of maximum likelihood plays a central role in the exposition of this book, since a number of estimators used in econometrics can be derived within this framework. Examples include ordinary least squares, generalized least squares and full-information maximum likelihood. In deriving the maximum likelihood estimator, a key concept is the joint probability density function (pdf) of the observed random variables, yt. Maximum likelihood estimation requires that the following conditions are satisfied. (1) The form of the joint pdf of yt is known. (2) The specification of the moments of the joint pdf are known. (3) The joint pdf can be evaluated for all values of the parameters, 9. Parts ONE and TWO of this book deal with models in which all these conditions are satisfied. Part THREE investigates models in which these conditions are not satisfied and considers four important cases. First, if the distribution of yt is misspecified, resulting in both conditions 1 and 2 being violated, estimation is by quasi-maximum likelihood (Chapter 9). Second, if condition 1 is not satisfied, a generalized method of moments estimator (Chapter 10) is required. Third, if condition 2 is not satisfied, estimation relies on nonparametric methods (Chapter 11). Fourth, if condition 3 is violated, simulation-based estimation methods are used (Chapter 12). 1.2 Motivating Examples To highlight the role of probability distributions in maximum likelihood estimation, this section emphasizes the link between observed sample data and 4 The Maximum Likelihood Principle the probability distribution from which they are drawn"-- publisher.
Analysis Of Financial Time Series
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Author : Ruey S. Tsay
language : en
Publisher: John Wiley & Sons
Release Date : 2010-10-26
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 2010-10-26 with Mathematics categories.
This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: Analysis and application of univariate financial time series The return series of multiple assets Bayesian inference in finance methods Key features of the new edition include additional coverage of modern day topics such as arbitrage, pair trading, realized volatility, and credit risk modeling; a smooth transition from S-Plus to R; and expanded empirical financial data sets. The overall objective of the book is to provide some knowledge of financial time series, introduce some statistical tools useful for analyzing these series and gain experience in financial applications of various econometric methods.
Time Series Models
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Author : D.R. Cox
language : en
Publisher: CRC Press
Release Date : 1996-05-15
Time Series Models written by D.R. Cox and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-05-15 with Mathematics categories.
The analysis prediction and interpolation of economic and other time series has a long history and many applications. Major new developments are taking place, driven partly by the need to analyze financial data. The five papers in this book describe those new developments from various viewpoints and are intended to be an introduction accessible to readers from a range of backgrounds. The book arises out of the second Seminaire European de Statistique (SEMSTAT) held in Oxford in December 1994. This brought together young statisticians from across Europe, and a series of introductory lectures were given on topics at the forefront of current research activity. The lectures form the basis for the five papers contained in the book. The papers by Shephard and Johansen deal respectively with time series models for volatility, i.e. variance heterogeneity, and with cointegration. Clements and Hendry analyze the nature of prediction errors. A complementary review paper by Laird gives a biometrical view of the analysis of short time series. Finally Astrup and Nielsen give a mathematical introduction to the study of option pricing. Whilst the book draws its primary motivation from financial series and from multivariate econometric modelling, the applications are potentially much broader.
Nonlinear Time Series Analysis Of Economic And Financial Data
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Author : Philip Rothman
language : en
Publisher: Springer Science & Business Media
Release Date : 1999-01-31
Nonlinear Time Series Analysis Of Economic And Financial Data written by Philip Rothman 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 1999-01-31 with Business & Economics categories.
Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.
Handbook Of Financial Time Series
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Author : Torben Gustav Andersen
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-04-21
Handbook Of Financial Time Series written by Torben Gustav Andersen 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 2009-04-21 with Business & Economics categories.
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Essentials Of Time Series For Financial Applications
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Author : Massimo Guidolin
language : en
Publisher: Academic Press
Release Date : 2018-05-29
Essentials Of Time Series For Financial Applications written by Massimo Guidolin and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-05-29 with Business & Economics categories.
Essentials of Time Series for Financial Applications serves as an agile reference for upper level students and practitioners who desire a formal, easy-to-follow introduction to the most important time series methods applied in financial applications (pricing, asset management, quant strategies, and risk management). Real-life data and examples developed with EViews illustrate the links between the formal apparatus and the applications. The examples either directly exploit the tools that EViews makes available or use programs that by employing EViews implement specific topics or techniques. The book balances a formal framework with as few proofs as possible against many examples that support its central ideas. Boxes are used throughout to remind readers of technical aspects and definitions and to present examples in a compact fashion, with full details (workout files) available in an on-line appendix. The more advanced chapters provide discussion sections that refer to more advanced textbooks or detailed proofs. - Provides practical, hands-on examples in time-series econometrics - Presents a more application-oriented, less technical book on financial econometrics - Offers rigorous coverage, including technical aspects and references for the proofs, despite being an introduction - Features examples worked out in EViews (9 or higher)
Time Series Models For Business And Economic Forecasting
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Author : Philip Hans Franses
language : en
Publisher: Cambridge University Press
Release Date : 1998-10-15
Time Series Models For Business And Economic Forecasting written by Philip Hans Franses 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 1998-10-15 with Business & Economics categories.
The econometric analysis of economic and business time series is a major field of research and application. The last few decades have witnessed an increasing interest in both theoretical and empirical developments in constructing time series models and in their important application in forecasting. In Time Series Models for Business and Economic Forecasting, Philip Franses examines recent developments in time series analysis. The early parts of the book focus on the typical features of time series data in business and economics. Part III is concerned with the discussion of some important concepts in time series analysis, the discussion focuses on the techniques which can be readily applied in practice. Parts IV-VIII suggest different modeling methods and model structures. Part IX extends the concepts in chapter three to multivariate time series. Part X examines common aspects across time series.
Financial Econometric Modeling
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Author : Stan Hurn
language : en
Publisher: Oxford University Press, USA
Release Date : 2020-02
Financial Econometric Modeling written by Stan Hurn and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-02 with Finance categories.
"An introduction to the field of financial econometrics, focusing on providing an introduction for undergraduate and postgraduate students whose math skills may not be at the most advanced level, but who need this material to pursue careers in research and the financial industry"--