Would you like to tell us about a lower price? If you are a seller for this product, would you like to suggest updates through seller support? This book which provides an overview of contemporary topics related to the modelling of financial time series, is set against a backdrop of rapid expansions of interest in both the models themselves and the financial problems to which they are applied. This excellent textbook covers all the major developments in the area in recent years in an informative as well as succinct way.

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This book provides an essential toolkit for all students wishing to know more about the modelling and analysis of financial data. Applications of econometric techniques are becoming increasingly common in the world of finance and this second edition of an established text covers the following key themes:. This updated edition includes new chapters which cover limited dependent variables and panel data. It continues to be an essential guide for all graduate and advanced undergraduate students of econometrics and finance.

The author aimed at bringing together, to a single research-oriented volume, various topics concerning the modelling and analysis of financial data, which were previously scattered in different books. The main difference from the first edition is in the time series modelling, but also this second edition considers discrete choice models, estimation of censored and truncated samples and other topics which developed significantly since the first edition.

The unique feature of the book is that each chapter has a section or two of examples and cases, and a section of empirical literature. This will give a potential reader an opportunity both to understand better the theory and to practice in applying this theory to real models.

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The site uses cookies to offer you a better experience. By continuing to browse the site you accept our Cookie Policy, you can change your settings at any time. We can order this Usually dispatched within 3 weeks. Quantity Add to basket. This item has been added to your basket View basket Checkout. View other formats and editions. Applications of econometric techniques are becoming increasingly common in the world of finance and this second edition of an established text covers the following key themes: - unit roots, cointegration and other developments in the study of time series models - time varying volatility models of the GARCH type and the stochastic volatility approach - analysis of shock persistence and impulse responses - Markov switching and Kalman filtering - spectral analysis - present value relations and rationality - discrete choice models - analysis of truncated and censored samples - panel data analysis.

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Financial Econometrics

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