Book2003

Financial econometrics : methods and models

54 citations0/0 files storedRoutledge eBooks

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

1. Introduction 2. Stochastic Models and Processes 3. The Behaviour of Security Prices 4. Modelling Long-run Relationships in Financial Time Series 5. Modelling Volatility in Financial Time Series 6. Modelling Regime Shifts 7. The Present Value Model, Rationality, and Market Efficiency 8. The Kalman Filter 9. Frequency Domain Analysis 10. Financial Tools 11. Summary

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 54 citations exist upstream.

References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1988Statistical analysis of cointegration vectors 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1998Generalized impulse response analysis in linear multivariate models 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model 1987Cointegration and Tests of Present Value Models 1991Financial Investment Opportunities and the Macroeconomy

Cited by

2013The impact of global oil price shocks on the Lebanese stock market 2015The Analysis for the Validity of Compensation and Efficiency Hypotheses in Turkey between 1975 and 2013 2011The real exchange rate of an oil exporting economy: Empirical evidence from Nigeria

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.