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Financial econometrics : from basics to advanced modeling techniques
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| Autres auteurs : | |
|---|---|
| Format : | Livre |
| Langue : | anglais |
| Titre complet : | Financial econometrics : from basics to advanced modeling techniques / Svetlozar T. Rachev, Stefan Mittnik, Frank J. Fabozzi, Sergio M. Focardi, Teo Jasic |
| Publié : |
Hoboken, N.J. :
Wiley
, cop. 2007 |
| Description matérielle : | 1 vol. (XX-553 p.) |
| Collection : | The Frank J. Fabozzi series |
| Sujets : |
- P. 1
- Chapter 1, Financial econometrics : scope and methods
- P. 25
- Chapter 2, Review of probability and statistics
- P. 79
- Chapter 3, Regression analysis : theory and estimation
- P. 127
- Chapter 4, Selected topics in regression analysis
- P. 169
- Chapter 5, Regression applications in finance
- P. 201
- Chapter 6, Modeling univariate time series
- P. 241
- Chapter 7, Approaches to ARIMA modeling and forecasting
- P. 279
- Chapter 8, Autoregressive conditional heteroskedastic models
- P. 321
- Chapter 9, Vector autoregressive models I
- P. 343
- Chapter 10, Vector autoregressive models II
- P. 373
- Chapter 11, Cointegration and state space models
- P. 407
- Chapter 12, Robust estimation
- P. 429
- Chapter 13, Principal components analysis and factor analysis
- P. 465
- Chapter 14, Heavy-tailed and stable distributions in financial econometrics
- P. 495
- Chapter 15, ARMA and ARCH models with infinite-variance innovations