Financial Econometrics

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.

"…The author aimed at bringing together, to a single research-oriented volume, various topics concerning the modelling and analysis of financial data, which were previously scattered in different books. …The main difference from the first edition is in the time series modelling, but also this second edition considers discrete choice models, estimation of censored and truncated samples and other topics which developed significantly since the first edition. … The unique feature of the book is that each chapter has a section or two of examples and cases, and a section of empirical literature. This will give a potential reader an opportunity both to understand better the theory and to practice in applying this theory to real models. …"—Yuliya S. Mishura, Zentralblatt MATH 1171

• 1. Stochastic Processes and Financial Data Generating Processes 2. Commonly Applied Statistical Distributions and their Relevance 3. Overview of Estimation Methods 4. Unit Roots, Cointegration and other Comovements in Time Series 5. Time-Varying Volatility Models: GARCH and Stochastic Volatility 6. Shock Persistence and Impulse Response Analysis 7. Modelling Regime Shifts: Markov Switching Models 8. Present Value Models and Tests for Rationality and Market Efficiency 9. State Space Models and the Kalman Filter 10. Frequency Domain Analysis of Time Series 11. Limited Dependent Variables and Discrete Choice Models 12. Limited Dependent Variables and Truncated and Censored Samples 13. Panel Data Analysis 14. Research Tools and Sources of Information