The Econometric Modelling of Financial Time SeriesCambridge University Press, 2008 M03 20 - 468 páginas 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. |
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Página 3
... Granger and Morgenstern (1970) provide a detailed development and empirical examination of the random walk model and various of its refinements. Amazingly, much of this work had been anticipated Pt 1⁄4 P tÀ1 þ a t ð1:1Þ by the French ...
... Granger and Morgenstern (1970) provide a detailed development and empirical examination of the random walk model and various of its refinements. Amazingly, much of this work had been anticipated Pt 1⁄4 P tÀ1 þ a t ð1:1Þ by the French ...
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... Granger (2004) address market efficiency from a forecasting perspective. As LeRoy (1989) discusses, it was later shown that the random walk behaviour of financial prices is neither a sufficient nor a necessary condition for rationally ...
... Granger (2004) address market efficiency from a forecasting perspective. As LeRoy (1989) discusses, it was later shown that the random walk behaviour of financial prices is neither a sufficient nor a necessary condition for rationally ...
Página 7
... Granger causality, variance decompositions and impulse response analysis. These topics are illustrated with a variety of examples drawnfromthefinanceliterature:usingforwardexchangerates asoptimal predictors of future spot rates ...
... Granger causality, variance decompositions and impulse response analysis. These topics are illustrated with a variety of examples drawnfromthefinanceliterature:usingforwardexchangerates asoptimal predictors of future spot rates ...
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... Granger and Newbold (1986, chap. 1) or Hamilton (1994, chap. 3.2) and, since it is difficult to test for ergodicity using just (part of) a single realisation, it will be assumed from now on that all time series have this property ...
... Granger and Newbold (1986, chap. 1) or Hamilton (1994, chap. 3.2) and, since it is difficult to test for ergodicity using just (part of) a single realisation, it will be assumed from now on that all time series have this property ...
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Términos y frases comunes
À Á allow alternative analysis approach approximation ARCH assumed assumption asymptotic autocorrelation average behaviour bilinear cent changes chapter cointegration component computed conditional consider consistent constant contain converges correction correlation critical values ð Þ defined dependence developed discussed distribution effect empirical equation error estimated evidence example expected extension Figure financial first forecast function future GARCH given Granger hypothesis implies important independent integrated interest known limiting linear mean noise non-linear normal Note null observations obtained parameters period positive possible present procedure properties proposed provides random walk ratio regression rejected relationship requires residuals respectively response restrictions returns sample shown shows significant simple squared standard stationary statistic stochastic suggest tail trend unit root values variables variance vector volatility written yields zero
Pasajes populares
Página 12 - A stochastic process is said to be strictly stationary if its properties are unaffected by a change of time origin, that is, if the joint probability distribution associated with m observations...
Referencias a este libro
Probability Theory and Statistical Inference: Econometric Modeling with ... Aris Spanos Vista previa limitada - 1999 |
Extreme Financial Risks: From Dependence to Risk Management Yannick Malevergne,Didier Sornette Sin vista previa disponible - 2006 |