Financial Econometrics

publisher: UK-TB

Language‎: English

price: 199 $

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  • 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.

  • Content :-
  • Introduction to EViews 6.0
    1. Workfiles in EViews
    2. Objects
    3. Eviews Functions
    4. Programming in Eviews
  • Regression Model
    1. Introduction
    2. Linear Regression Model
    3. Nonlinear Regression
  • Univariate Time Series: Linear Models
    1. Introduction
    2. Stationarity and Autocorrelations
    3. ARMA processes
  • Stationarity and Unit Roots Tests
    1. Introduction
    2. Unit Roots tests
    3. Stationarity tests
    4. Example: Purchasing Power Parity
  • Univariate Time Series: Volatility Models
    1. Introduction
    2. The ARCH Model
    3. The GARCH Model
    4. GARCH model estimation
    5. GARCH Model Extensions
  • Multivariate Time Series Analysis
    1. Vector Autoregression Model
    2. Cointegration

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