Financial Econometrics

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.

1. Workfiles in EViews
2. Objects
3. Eviews Functions
4. Programming in Eviews

1. Introduction
2. Linear Regression Model
3. Nonlinear Regression

1. Introduction
2. Stationarity and Autocorrelations
3. ARMA processes

1. Introduction
2. Unit Roots tests
3. Stationarity tests
4. Example: Purchasing Power Parity

1. Introduction
2. The ARCH Model
3. The GARCH Model
4. GARCH model estimation
5. GARCH Model Extensions

1. Vector Autoregression Model
2. Cointegration