Financial Econometrics Problems,Models,and Methods

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Financial Econometrics Problems,Models,and Methods, by Gourieroux and Jasiak

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

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关键词：econometrics Econometric financial inancial Problems Methods econometrics financial models Problems

呵呵，好东西啊。期待中。

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6334.rar (2.69 MB)

2004-12-29 01:45:00 上传

Financial Econometrics Problems,Models,and Methods

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是一份讲义，不是书