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The Econometric Modelling of Financial Time Series, Terence C. Mills



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Цена: 4485р.
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Автор: Terence C. Mills
Название:  The Econometric Modelling of Financial Time Series   (Эконометрическое моделирование финансового временного ряда)
Издательство: Cambridge Academ
Классификация:
ISBN: 052171009X
ISBN-13(EAN): 9780521710091
Обложка/Формат: Paperback
Страницы: 470
Вес: 0.798 кг.
Дата издания: 20.03.2008
Язык: English
Издание: 3 revised edition
Иллюстрации: 85 line figures 34 tables 63 figures 85 grap
Размер: 246 x 175 x 24
Читательская аудитория: Professional & vocational
Ссылка на Издательство: Link
Рейтинг:
Поставляется из: Англии
Описание: Terence Mills’ best-selling graduate textbook provides detailed coverage of the latest research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. The third edition, co-authored with Raphael Markellos, contains a wealth of new material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.
Дополнительное описание: List of figures; List of tables; Preface to the third edition; 1. Introduction; 2. Univariate linear stochastic models: basic concepts; 3. Univariate linear stochastic models: testing for unit roots and alternative trend specifications; 4. Univariate line




      Старое издание
The Econometric Modelling of Financial Time Series

Название: The Econometric Modelling of Financial Time Series
ISBN: 0521624924 ISBN-13(EAN): 9780521624923
Издательство: Cambridge Academ
Цена: 3105 р.
Наличие на складе: Невозможна поставка.
Описание: Substantially revised and updated second edition of Terry Mills' best-selling graduate textbook The Econometric Modelling of Financial Time Series. The book provides detailed coverage of the variety of models that are currently being used in the empiric

The Econometric Modelling of Financial Time Series

Автор: Terence C. Mills
Название: The Econometric Modelling of Financial Time Series
ISBN: 0521883814 ISBN-13(EAN): 9780521883818
Издательство: Cambridge Academ
Цена: 7708 р.
Наличие на складе: Невозможна поставка.
Описание: Terence Mills' best-selling graduate textbook provides detailed coverage of the latest research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. The third edition, co-authored with Raphael Markellos, contains a wealth of new material reflecting the developments of the last decade.

Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.


Mostly harmless econometrics

Автор: Angrist, J.d. Pischke, Jorn-steffen
Название: Mostly harmless econometrics
ISBN: 0691120358 ISBN-13(EAN): 9780691120355
Издательство: Wiley
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Цена: 4389 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Shows how the basic tools of applied econometrics allow the data to speak. This book covers regression-discontinuity designs and quantile regression - as well as how to get standard errors right. It is suitable for various areas in contemporary social science.

Introductory Econometrics for Finance

Автор: Brooks
Название: Introductory Econometrics for Finance
ISBN: 1107661455 ISBN-13(EAN): 9781107661455
Издательство: Cambridge Academ
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Цена: 5751 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: This bestselling and thoroughly classroom-tested textbook is a complete resource for finance students. A comprehensive and illustrated discussion of the most common empirical approaches in finance prepares students for using econometrics in practice, while detailed case studies help them understand how the techniques are used in relevant financial contexts. Worked examples from the latest version of the popular statistical software EViews guide students to implement their own models and interpret results. Learning outcomes, key concepts and end-of-chapter review questions (with full solutions online) highlight the main chapter takeaways and allow students to self-assess their understanding. Building on the successful data- and problem-driven approach of previous editions, this third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time. A companion website, with numerous student and instructor resources, completes the learning package.

A Guide to Modern Econometrics

Автор: Verbeek M
Название: A Guide to Modern Econometrics
ISBN: 1119951674 ISBN-13(EAN): 9781119951674
Издательство: Wiley
Рейтинг:
Цена: 5774 р.
Наличие на складе: Поставка под заказ.

Описание: This highly successful text serves as a guide to alternative techniques in econometrics with an emphasis on the practical application of these approaches. The 4th Edition features: Coverage of a wide range of topics, including time series analysis, cointegration, limited dependent variables, panel data analysis and the generalized method of moments. Intuitive presentation and discussion, with a focus on implementation and practical relevance. A large number of empirical illustrations taken from a wide variety of fields, including international economics, finance, labour economics and macroeconomics. Increased focus on robust inference and small sample properties. End-of-chapter exercises, both theoretical and empirical, reviewing key concepts. Updated and expanded coverage, on various topics such as missing data, outliers, forecast evaluation, the estimation of treatment effects and panel unit root tests. Supplementary material, including PowerPoint slides for lecturers, data sets of the empirical illustrations and exercises, and solutions to selected exercises in each chapter, available at www.wileyeurope.com/college/verbeek

Palgrave handbook of econometrics econometric theory: vol 1

Название: Palgrave handbook of econometrics econometric theory: vol 1
ISBN: 1403918023 ISBN-13(EAN): 9781403918024
Издательство: Springer
Рейтинг:
Цена: 12539 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Provides guidance in key areas of econometrics. This book covers developments in theoretical econometrics, including essays on methodology and history of econometrics, developments in time-series and cross-section econometrics, modelling with integrated variables, Bayesian econometrics, simulation methods and a selection of special topics.

The Econometric Modelling of Financial Time Series

Автор: Terence C. Mills
Название: The Econometric Modelling of Financial Time Series
ISBN: 0521883814 ISBN-13(EAN): 9780521883818
Издательство: Cambridge Academ
Цена: 7708 р.
Наличие на складе: Невозможна поставка.

Описание: Terence Mills' best-selling graduate textbook provides detailed coverage of the latest research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. The third edition, co-authored with Raphael Markellos, contains a wealth of new material reflecting the developments of the last decade.

Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.

An Introduction to Modern Econometrics Using Stata

Автор: Baum
Название: An Introduction to Modern Econometrics Using Stata
ISBN: 1597180130 ISBN-13(EAN): 9781597180139
Издательство: Taylor&Francis
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Цена: 10047 р.
Наличие на складе: Невозможна поставка.

Описание: Integrating a contemporary approach to econometrics with the powerful computational tools offered by Stata, this introduction illustrates how to apply econometric theories used in modern empirical research using Stata. The author emphasizes the role of method-of-moments estimators, hypothesis testing, and specification analysis and provides practical examples that show how to apply the theories to real data sets. The book first builds familiarity with the basic skills needed to work with econometric data in Stata before delving into the core topics, which range from the multiple linear regression model to instrumental-variables estimation.

Econometric Analysis of Panel Data

Автор: Baltagi Badi H
Название: Econometric Analysis of Panel Data
ISBN: 1118672321 ISBN-13(EAN): 9781118672327
Издательство: Wiley
Рейтинг:
Цена: 5889 р.
Наличие на складе: Невозможна поставка.

Описание: Panel data econometrics has evolved rapidly over the last decade. Micro and Macro panels are increasing in numbers and availability and methods to deal with these data are in high demand from practitioners.

Applied Nonparametric Econometrics

Автор: Henderson
Название: Applied Nonparametric Econometrics
ISBN: 0521279682 ISBN-13(EAN): 9780521279680
Издательство: Cambridge Academ
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Цена: 3910 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: The majority of empirical research in economics ignores the potential benefits of nonparametric methods, while the majority of advances in nonparametric theory ignore the problems faced in applied econometrics. This book helps bridge this gap between applied economists and theoretical nonparametric econometricians. It discusses in depth, and in terms that someone with only one year of graduate econometrics can understand, basic to advanced nonparametric methods. The analysis starts with density estimation and motivates the procedures through methods that should be familiar to the reader. It then moves on to kernel regression, estimation with discrete data, and advanced methods such as estimation with panel data and instrumental variables models. The book pays close attention to the issues that arise with programming, computing speed, and application. In each chapter, the methods discussed are applied to actual data, paying attention to presentation of results and potential pitfalls.

Structural econometric time series analysis approach

Название: Structural econometric time series analysis approach
ISBN: 0521814073 ISBN-13(EAN): 9780521814072
Издательство: Cambridge Academ
Рейтинг:
Цена: 12424 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: This 2004 text offers key texts in the theory and application of the Structural Econometric Time Series Analysis (SEMTSA) approach.

The Structural Econometric Time Series Analysis Approach

Автор: Arnold Zellner (Editor)
Название: The Structural Econometric Time Series Analysis Approach
ISBN: 0521187435 ISBN-13(EAN): 9780521187435
Издательство: Cambridge Academ
Рейтинг:
Цена: 4255 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Bringing together a collection of previously published work, this book provides a discussion of major considerations relating to the construction of econometric models that work well to explain economic phenomena, predict future outcomes and be useful for policy-making. Analytical relations between dynamic econometric structural models and empirical time series MVARMA, VAR, transfer function, and univariate ARIMA models are established with important application for model-checking and model construction. The theory and applications of these procedures to a variety of econometric modeling and forecasting problems as well as Bayesian and non-Bayesian testing, shrinkage estimation and forecasting procedures are also presented and applied. Finally, attention is focused on the effects of disaggregation on forecasting precision and the Marshallian Macroeconomic Model that features demand, supply and entry equations for major sectors of economies is analysed and described. This volume will prove invaluable to professionals, academics and students alike.

Applied Econometric Time Series

Автор: Enders Walter
Название: Applied Econometric Time Series
ISBN: 1118808568 ISBN-13(EAN): 9781118808566
Издательство: Wiley
Рейтинг:
Цена: 24140 р.
Наличие на складе: Невозможна поставка.

Описание: Applied Econometric Time Series, 4th Edition demonstrates modern techniques for developing models capable of forecasting, interpreting, and testing hypotheses concerning economic data. In this text, Dr.

Applied Econometric Time Series, Second Edition

Автор: Walter Enders
Название: Applied Econometric Time Series, Second Edition
ISBN: 0471230650 ISBN-13(EAN): 9780471230656
Издательство: Wiley
Цена: 4268 р.
Наличие на складе: Поставка под заказ.

Описание: Amstat News asked three review editors to rate their top five favorite books in the September 2003 issue. The first edition of Applied Econometric Time Series was among those chosen. This new edition reflects recent advances in time--series econometrics, such as out--of--sample forecasting techniques, non--linear time--series models, Monte Carlo analysis, and bootstrapping. Numerous examples from fields ranging from agricultural economics to transnational terrorism illustrate various techniques.


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