Description

Book Synopsis

Financial Econometrics Using Stata is an essential reference for graduate students, researchers, and practitioners who use Stata to perform intermediate or advanced methods. After discussing the characteristics of financial time series, the authors provide introductions to ARMA models, univariate GARCH models, multivariate GARCH models, and applications of these models to financial time series. The last two chapters cover risk management and contagion measures. After a rigorous but intuitive overview, the authors illustrate each method by interpreting easily replicable Stata examples.



Table of Contents

Introduction to financial time series. ARMA models. Modeling volatilities, ARCH models, and GARCH models. Multivariate GARCH models. Risk management. Contagion analysis.

Financial Econometrics Using Stata

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A Paperback / softback by Simona Boffelli, Giovanni Urga

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    View other formats and editions of Financial Econometrics Using Stata by Simona Boffelli

    Publisher: Stata Press
    Publication Date: 01/11/2016
    ISBN13: 9781597182140, 978-1597182140
    ISBN10: 1597182141
    Also in:
    Econometrics and economic statistics Mathematics Probability and statistics

    Description

    Book Synopsis

    Financial Econometrics Using Stata is an essential reference for graduate students, researchers, and practitioners who use Stata to perform intermediate or advanced methods. After discussing the characteristics of financial time series, the authors provide introductions to ARMA models, univariate GARCH models, multivariate GARCH models, and applications of these models to financial time series. The last two chapters cover risk management and contagion measures. After a rigorous but intuitive overview, the authors illustrate each method by interpreting easily replicable Stata examples.



    Table of Contents

    Introduction to financial time series. ARMA models. Modeling volatilities, ARCH models, and GARCH models. Multivariate GARCH models. Risk management. Contagion analysis.

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