Financial Econometric

Analysis of Financial Time Series (repost)  

Posted by interes at March 12, 2013
Analysis of Financial Time Series (repost)

Ruey S. Tsay, "Analysis of Financial Time Series"
2010 | ISBN: 0470414359, 0470644559 | 712 pages | PDF | 6,9 MB

This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described.

Econometric Analysis  eBooks & eLearning

Posted by lengen at Dec. 9, 2016
Econometric Analysis

Econometric Analysis by William H. Greene
English | Aug. 17, 2007 | ISBN: 0135132452 | 1216 Pages | PDF | 8 MB

Econometric Analysisi, 6/e serves as a bridge between an introduction to the field of econometrics and the professional literature for social scientists and other professionals in the field of social sciences, focusing on applied econometrics and theoretical background. This book provides a broad survey of the field of econometrics that allows the reader to move from here to practice in one or more specialized areas.

Econometric Forecasting And High-Frequency Data Analysis (Repost)  eBooks & eLearning

Posted by leonardo78 at Nov. 9, 2016
Econometric Forecasting And High-Frequency Data Analysis (Repost)

Econometric Forecasting And High-Frequency Data Analysis by Roberto S. Mariano, Yiu-Kuen Tse
English | 2008 | ISBN: 9812778950 | 200 pages | PDF | 1,06 MB

This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein.
Econometric Analysis of Financial and Economic Time Series Part B, Volume 20 (Advances in Econometrics) (Repost)

Econometric Analysis of Financial and Economic Time Series Part B, Volume 20 (Advances in Econometrics) by Thomas B. Fomby
English | 2006 | ISBN: 0762312734 | 379 Pages | PDF | 3 MB

The editors are pleased to offer the following papers to the reader in recognition and appreciation of the contributions to our literature made by Robert Engle and Sir Clive Granger
The Econometric Modelling of Financial Time Series (3rd edition)

Terence C. Mills, Raphael N. Markellos - The Econometric Modelling of Financial Time Series (3rd edition)
Published: 2008-04-21 | ISBN: 0521883814, 052171009X | PDF | 468 pages | 3 MB
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.
An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation (repost)

Desmond Higham “An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation"
English | 2004-04-19 | ISBN: 0521547571 | 296 pages | PDF | 3 Mb

This book is intended for use in a rigorous introductory PhD level course in econometrics, or in a field course in econometric theory. It covers the measure-theoretical foundation of probability theory, the multivariate normal distribution with its application to classical linear regression analysis, various laws of large numbers…
Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment (repost)

Kenneth J. Singleton, "Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment"
English | 2006-03-06 | ISBN: 0691122970 | 497 pages | PDF | 4 mb

Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models.
Econometric Analysis of Financial and Economic Time Series Part A (Repost)

Dek Terrell, Thomas B. B Fomby, "Econometric Analysis of Financial and Economic Time Series Part A, Volume 20 (Advances in Econometrics)"
English | 2006-03-29 | ISBN: 0762312742 | 407 pages | PDF | 4.6 mb
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. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet.