Contributions to Financial Econometrics

Theoretical and Practical Issues

AvMcAleer,Michael McAleer

Häftad, Engelska, 2002

Del i serien Surveys of Recent Research in Economics

329 kr

Beställningsvara. Skickas inom 5-8 vardagar. Fri frakt över 249 kr.

Beskrivning

This prestigious volume presents five state-of-the-art survey papers on time series econometrics, and a modern financial econometrics software package. Starting with a survey of recent theoretical developments for time series models with GARCH errors, the contributions go on to examine the bootstrapping of financial time series, developments in futures hedging, measures of fit for rational expectations models, asset pricing with observable stochastic discount factors, and a financial econometrics software package for estimating and forecasting ARCH models. Each of the papers blends theoretical and empirical issues, enabling theoreticians and practitioners alike to keep up with the most recent developments in the field. The volume as a whole makes a significant new contribution to the literature.

Produktinformation

Utgivningsdatum:2002-11-07
Mått:173 x 246 x 15 mm
Vikt:463 g
Format:Häftad
Språk:Engelska
Serie:Surveys of Recent Research in Economics
Antal sidor:264
Förlag:John Wiley and Sons Ltd
ISBN:9781405107433

Utforska kategorier

Mikroekonomi inom Ekonomi och Ledarskap
Finansiering inom Ekonomi och Ledarskap

Mer om författaren

Michael McAleer is Professor of Economics at the University of Western Australia. He has published widely in econometrics, financial econometrics, time series analysis, statistics, modelling environmental systems, and tourism research. Les Oxley is Professor of Economics at the University of Canterbury, Christchurch, New Zealand and Adjunct Professor at the University of Western Australia. He has published widely in applied econometrics, macroeconometrics and cliometrics.

Innehållsförteckning

1. The Econometrics of Financial Time Series: Michael McAleer and Les Oxley. 2. Recent Theoretical Results for Time Series Models with GARCH Errors: W. K. Li, Shiqing Ling and Michael McAleer.3. Bootstrapping Financial Time Series: Esther Ruiz and Lorenzo Pascual.4. Measures of Fit for Rational Expectations Models: Tom Engsted.5. Some Recent Developments in Futures Hedging: Donald Lien and Y. K. Tse.6. Asset Pricing with Observable Stochastic Discount Factors: Peter Smith and Michael Wickens.7. G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models: Sébastien Laurent and Jean-Philippe Peters.