Financial econometrics
methods and models
- ISBN: 9780415224550
- Fecha de la edición: 2003
- Lugar de la edición: London. Reino Unido
- Colección: Routledge advanced texts in economics and finance
- Encuadernación: Rústica
- Medidas: 24 cm
- Nº Pág.: 178
- Idiomas: Inglés
This text, an overview of contemporary topics related to the modelling of financial time series, is set against a backdrop of rapid expansions of interest in both the models themselves and the financial problems to which they are applied. Table of Contents Stochastic models and processes the behaviour of security prices modelling long-run relationships in financial time series modelling volatility in financial time series modelling regime shifts the present value model, rationality, and market efficiency the kalman filter frequency domain analysis financial tools summary