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Modeling Financial Time Series with S-Plus®

Zivot, Eric - 2003

The field of financial econometrics has exploded over the last decade. This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to...

Persistent link: https://www.econbiz.de/10013523086

High Frequency Financial Econometrics : Recent Developments

Bauwens, Luc (contributor); Pohlmeier, Winfried (contributor) - 2008

law of prices, volume and durations. Bond markets are brought into focus through the analysis of macroeconomic …

Persistent link: https://www.econbiz.de/10013520878

Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration

Gregoriou, Greg N. (ed.); Pascalau, Razvan (ed.) - 2011

This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets

Persistent link: https://www.econbiz.de/10012053890

Bubbles and Contagion in Financial Markets, Volume 2 : Models and Mathematics

Porras, Eva R. - 2017

This book focuses on extending the models and theories (from a mathematical/statistical point of view) which were introduced in the first volume to a more technical level. Where volume I provided an introduction to the mathematics of bubbles and contagion, volume II digs far more deeply and...

Persistent link: https://www.econbiz.de/10014019830

Advances in Time Series Data Methods in Applied Economic Research : International Conference on Applied Economics (ICOAE) 2018

Tsounis, Nicholas (ed.); Vlachvei, Aspasia (ed.) - 2018

Stock Returns -- Mademlis, D. K. and Dritsakis, N: Volatility Between Oil Prices and Stock Returns of Dow Jones index: A … Botha, I: The Effect of a Sovereign Credit Rating Change on Share Prices of the South African Retail Banks -- Mohsin, M … -- Antoniadis, I., Sariannidis, N. and Kontsas, S: The Effect of Bitcoin Prices on US Dollar Index price -- Dayoub, M., Helminen, J …

Persistent link: https://www.econbiz.de/10012396995

Time Series Econometrics : Learning Through Replication

Levendis, John D. - 2018 - Corrected publication 2021

In this book, the authors reject the theorem-proof approach as much as possible, and emphasize the practical application of econometrics. They show with examples how to calculate and interpret the numerical results. This book begins with students estimating simple univariate models, in a step by...

Persistent link: https://www.econbiz.de/10012397044

Time Series Econometrics

Neusser, Klaus - 2016

This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of...

Persistent link: https://www.econbiz.de/10012397877

Multivariate Modelling of Non-Stationary Economic Time Series

Hunter, John - 2017 - 2nd ed. 2017

This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models. The authors provide a detailed and extensive study of impulse responses and forecasting in the stationary and non-stationary context,...

Persistent link: https://www.econbiz.de/10012398276

A Time Series Approach to Option Pricing : Models, Methods and Empirical Performances

Chorro, Christophe - 2015

asset returns are strongly related to option prices. The Black Scholes framework is introduced and by underlining its … then guided into numerical deduction of option prices from these models and illustrations with real examples are used to …

Persistent link: https://www.econbiz.de/10012401993

Convergence in Output and Its Sources Among Industrialised Countries : A Cross-Country Time-Series Perspective

Hernández Salmerón, Macarena - 2015

This book investigates the existence of stochastic and deterministic convergence of real output per worker and the sources of output (physical capital per worker, human capital per worker, total factor productivity -TFP- and average annual hours worked) in 21 OECD countries over the period...

Persistent link: https://www.econbiz.de/10012401997

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