Financial Econometrics – with EViews
© 2009 Roman Kozhan & Ventus Publishing ApS
ISBN 978-87-7681-427-4
To my wife Nataly
Contents
Preface
1 Introduction to EViews 6.0
1.1 Workfi les in EViews
1.2 Objects
1.3 Eviews Functions
1.4 Programming in Eviews
2 Regression Model
2.1 Introduction
2.2 Linear Regression Model
2.3 Nonlinear Regression
3 Univariate Time Series: Linear Models
3.1 Introduction
3.2 Stationarity and Autocorrelations
3.3 ARMA processes
4 Stationarity and Unit Roots Tests
4.1 Introduction
4.2 Unit Roots tests
4.3 Stationarity tests
4.4 Example: Purchasing Power Parity
5 Univariate Time Series: Volatility Models
5.1 Introduction
5.2 The ARCH Model
5.3 The GARCH Model
5.4 GARCH model estimation
5.5 GARCH Model Extensions
6 Multivariate Time Series Analysis
6.1 Vector Autoregression Model
6.2 Cointegration


PDF 116页可复制