Description

This prestigious volume presents five state-of-the-art survey papers on time series econometrics, and a modern financial econometrics software package. Starting with a survey of recent theoretical developments for time series models with GARCH errors, the contributions go on to examine the bootstrapping of financial time series, developments in futures hedging, measures of fit for rational expectations models, asset pricing with observable stochastic discount factors, and a financial econometrics software package for estimating and forecasting ARCH models. Each of the papers blends theoretical and empirical issues, enabling theoreticians and practitioners alike to keep up with the most recent developments in the field. The volume as a whole makes a significant new contribution to the literature.

Contributions to Financial Econometrics: Theoretical and Practical Issues

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Paperback / softback by Michael McAleer , Les Oxley

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This prestigious volume presents five state-of-the-art survey papers on time series econometrics, and a modern financial econometrics software package. Starting... Read more

    Publisher: John Wiley and Sons Ltd
    Publication Date: 07/11/2002
    ISBN13: 9781405107433, 978-1405107433
    ISBN10: 140510743X

    Number of Pages: 264

    Non Fiction , Business, Finance & Law

    Description

    This prestigious volume presents five state-of-the-art survey papers on time series econometrics, and a modern financial econometrics software package. Starting with a survey of recent theoretical developments for time series models with GARCH errors, the contributions go on to examine the bootstrapping of financial time series, developments in futures hedging, measures of fit for rational expectations models, asset pricing with observable stochastic discount factors, and a financial econometrics software package for estimating and forecasting ARCH models. Each of the papers blends theoretical and empirical issues, enabling theoreticians and practitioners alike to keep up with the most recent developments in the field. The volume as a whole makes a significant new contribution to the literature.

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