Cointegration

Financial Modeling of the Equity Market: From CAPM to Cointegration (repost)  eBooks & eLearning

Posted by fdts at Jan. 29, 2016
Financial Modeling of the Equity Market: From CAPM to Cointegration (repost)

Financial Modeling of the Equity Market: From CAPM to Cointegration
by Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm
English | 2006 | ISBN: 0471699004 | 673 pages | PDF | 9.05 MB
Econometric Modelling of European Money Demand: Aggregation, Cointegration, Identification

Econometric Modelling of European Money Demand: Aggregation, Cointegration, Identification (Contributions to Economics) by Engelbert Plassmann
English | Nov 11, 2002 | ISBN: 3790815225 | 204 Pages | PDF | 12 MB

The introduction of a single European currency constitutes a remarkable instance of internationalization of monetary policy. Whether a concomitant internationalization can be detected also in the econometric foundations of monetary policy is the topic dealt with in this book. The basic theoretical ingredients comprise a data-driven approach to econometric modelling and a generalized approach to cross-sectional aggregation.

Financial Modeling of the Equity Market: From CAPM to Cointegration (Repost)  eBooks & eLearning

Posted by step778 at Sept. 3, 2013
Financial Modeling of the Equity Market: From CAPM to Cointegration (Repost)

Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm, "Financial Modeling of the Equity Market: From CAPM to Cointegration"
2006 | pages: 673 | ISBN: 0471699004 | PDF | 9,1 mb

Using Cointegration Analysis in Econometric Modelling  eBooks & eLearning

Posted by tot167 at March 30, 2009
Using Cointegration Analysis in Econometric Modelling

Richard I. D. Harris, "Using Cointegration Analysis in Econometric Modelling"
Prentice Hall | 1995 | ISBN: 0133558924 | 192 pages | PDF | 8,2 MB

Financial Modeling of the Equity Market: From CAPM to Cointegration  eBooks & eLearning

Posted by tot167 at Dec. 30, 2008
Financial Modeling of the Equity Market: From CAPM to Cointegration

Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm "Financial Modeling of the Equity Market: From CAPM to Cointegration"
Wiley | 2002 | ISBN: 0471699004 | 651 pages | PDF | 12,7 MB

Multivariate Modelling of Non-Stationary Economic Time Series  eBooks & eLearning

Posted by AvaxGenius at May 9, 2017
Multivariate Modelling of Non-Stationary Economic Time Series

Multivariate Modelling of Non-Stationary Economic Time Series By John Hunter, Simon P. Burke, Alessandra Canepa
English | PDF | 2017 | 508 Pages | ISBN : 0230243304 | 5.3 MB

This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models. The authors provide a detailed and extensive study of impulse responses and forecasting in the stationary and non-stationary context, considering small sample correction, volatility and the impact of different orders of integration.

Time-Series-Based Econometrics: Unit Roots and Co-integrations (Repost)  eBooks & eLearning

Posted by step778 at April 3, 2014
Time-Series-Based Econometrics: Unit Roots and Co-integrations (Repost)

Michio Hatanaka, "Time-Series-Based Econometrics: Unit Roots and Co-integrations"
1996 | pages: 307 | ISBN: 0198773536 | PDF | 13,5 mb
Banerjee A., et collectif,  "Co-integration, error correction, and the econometric analysis of non-stationary data"

Banerjee A., et collectif, "Co-integration, error correction, and the econometric analysis of non-stationary data"
Publisher: OUP | 1993 | ISBN: 0198288107 | English | PDF | 343 pages | 12.4 Mb

This book is wide-ranging in its account of literature on cointegration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behavior are common in economics, although techniques appropriate to analyzing such data are relatively new, with few existing expositions of the literature. This book explores relationships among integrated data series and their use in dynamic econometric modelling. …

Applied Time Series Modelling and Forecasting (Repost)  eBooks & eLearning

Posted by elodar at Aug. 20, 2013
Applied Time Series Modelling and Forecasting (Repost)

Richard Harris, Robert Sollis, "Applied Time Series Modelling and Forecasting"
English | 2003-06-02 | ISBN: 0470844434 | 316 pages | PDF | 27.13 mb

Time Series: Applications to Finance with R and S-Plus, 2nd Edition (Repost)  eBooks & eLearning

Posted by nebulae at April 29, 2012
Time Series: Applications to Finance with R and S-Plus, 2nd Edition (Repost)

Ngai Hang Chan "Time Series: Applications to Finance with R and S-Plus, 2nd Edition"
ISBN: 0470583622 | 2010 | PDF | 296 pages | 11 MB