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Financial econometrics - with Eviews

25 citations0/0 files storedUniversity of Warwick

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Financial Analysis and Corporate Governance

Abstract

The aim of this textbook is to provide a step-by-step guide to financial econometrics using EViews 6.0 statistical package. It contains brief overviews of econometric concepts, models and data analysis techniques followed by empirical examples of how they can be implemented in EViews. This book is written as a compendium for undergraduate and graduate students in economics and finance. This book may be used as a textbook companion for graduate level courses in time series analysis, empirical finance and financial econometrics. 1st Edition

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1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1993Common risk factors in the returns on stocks and bonds 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1988Testing for a Unit Root in Time Series Regression 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY

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