<P >这份东西,还有贴过? 先发个介绍,需要的话,我再贴.</P>
<P >Financial Econometrics Problems,Models,and Methods, by Gourieroux and Jasiak</P>
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<P >Final draft of a very specialized financial econometric book published by Princeton University Press in 2001.

Contents:

1. Introcduction 1
2. Univariate Linear Models: The AR(1) process and Its Extensions 17
3. Multivariate Linear Models: VARMA Representation 53
4. Simultaneity, Recursivty, and Casuality Analysis 81
5. Persistence and Cointegration 105
6. Conditional Heteroscedasticity: Nonlinear Autoaggressive Models, ARCH Models, Stochastic Volatility Models 117
7. Expection and Present Value Models 151
8. Intertemporal Behavior and the Method of Moments 173
9. Dynamic Factor Models 195
10. Dynamic Qualitative Proceses 219
11. Diffusion Models 241
12. Estimation of Diffusion Models 285
13. Econometrics of Derivatives 317
14. Dynamic Models for High-Freguency data 351
15. Market Indexes 247
16. Management of Extreme Risks 427</P>