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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      Publisher: Stata Press
      Publication Date: Publication Date: 01/11/2016
      ISBN13: 9781597182140, 978-1597182140
      ISBN10: 1597182141

      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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