Description

Book Synopsis
* Presents five state--of--the--art survey papers on time series econometrics. * Presents a modern financial econometrics software package. * Surveys recent developments in the field. * Discusses the theoretical properties of the GARCH family of models.

Table of Contents
1. The Econometrics of Financial Time Series: Michael McAleer and Les Oxley.

2. Recent Theoretical Results for Time Series Models with GARCH Errors: W. K. Li, Shiqing Ling and Michael McAleer.

3. Bootstrapping Financial Time Series: Esther Ruiz and Lorenzo Pascual.

4. Measures of Fit for Rational Expectations Models: Tom Engsted.

5. Some Recent Developments in Futures Hedging: Donald Lien and Y. K. Tse.

6. Asset Pricing with Observable Stochastic Discount Factors: Peter Smith and Michael Wickens.

7. G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models: Sébastien Laurent and Jean-Philippe Peters.

Contributions to Financial Econometrics

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    A Paperback / softback by Michael McAleer, Les Oxley

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      Publisher: John Wiley and Sons Ltd
      Publication Date: 07/11/2002
      ISBN13: 9781405107433, 978-1405107433
      ISBN10: 140510743X
      Also in:
      Econometrics and economic statistics Finance and the finance industry

      Description

      Book Synopsis
      * Presents five state--of--the--art survey papers on time series econometrics. * Presents a modern financial econometrics software package. * Surveys recent developments in the field. * Discusses the theoretical properties of the GARCH family of models.

      Table of Contents
      1. The Econometrics of Financial Time Series: Michael McAleer and Les Oxley.

      2. Recent Theoretical Results for Time Series Models with GARCH Errors: W. K. Li, Shiqing Ling and Michael McAleer.

      3. Bootstrapping Financial Time Series: Esther Ruiz and Lorenzo Pascual.

      4. Measures of Fit for Rational Expectations Models: Tom Engsted.

      5. Some Recent Developments in Futures Hedging: Donald Lien and Y. K. Tse.

      6. Asset Pricing with Observable Stochastic Discount Factors: Peter Smith and Michael Wickens.

      7. G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models: Sébastien Laurent and Jean-Philippe Peters.

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