Cointegration

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)

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  

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

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
Time-Series-Based Econometrics: Unit Roots and Co-Integrations

Time-Series-Based Econometrics: Unit Roots and Co-Integrations
Publisher: Oxford University Press | ISBN: 0198773528 | edition 1996 | PDF | 312 pages | 12,5 mb

Although there has been rapid development in the field of unit roots and cointegration, this progress has taken divergent directions, and has been subjected to criticism. This monograph clearly relates cointegration to economic theories and describes cointegrated regression as a revolution in econometric methods for macroeconomics. It provides a guide for the selection of appropriate inference methods to study macroeconomic relations. The discussion of unit roots and cointegration starts from first principles, builds up explanations of concepts and techniques step-by-step, and ultimately shows how the techniques have been applied to economic studies.

Econometrics by Fumio Hayashi (Repost)  eBooks & eLearning

Posted by leonardo78 at Nov. 24, 2016
Econometrics by Fumio Hayashi (Repost)

Econometrics by Fumio Hayashi
Publisher: Princeton University Press | ISBN: 0691010188, 8122421229 | 2000 | PDF + MOBI | 690 Pages | (16,6 + 14,4) Mb

Hayashi's Econometrics promises to be the next great synthesis of modern econometrics. It introduces first year Ph.D. students to standard graduate econometrics material from a modern perspective. It covers all the standard material necessary for understanding the principal techniques of econometrics from ordinary least squares through cointegration.
Ferguson B.S., Lim G.C., "Discrete Time Dynamic Economic Models: Theory and Empirical Applications" (repost)

Ferguson B.S., Lim G.C., "Discrete Time Dynamic Economic Models: Theory and Empirical Applications"
Publisher: Routledge | 2003 | ISBN: 0415288991 | English | PDF | 174 pages | 0.9 Mb

This new book will be welcomed by econometricians and students of econometrics everywhere. Introducing discrete time modelling techniques and bridging the gap between economics and econometric literature, this ambitious book is sure to be an invaluable resource for all those to whom the terms unit roots, cointegration and error correction forms, chaos theory and random walks are recognisable if not yet fully understood.
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. …
Market Risk Analysis: Practical Financial Econometrics (Volume 2) (repost)

Carol Alexander, "Market Risk Analysis: Practical Financial Econometrics (Volume 2)"
English | 2008 | ISBN: 0470998016 | 426 pages | PDF | 5,7 MB

Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis.