Contributions to Financial Econometrics
Theoretical and Practical Issues
Michael McAleer editor Les Oxley editor
Format:Paperback
Publisher:John Wiley and Sons Ltd
Published:7th Nov '02
Currently unavailable, and unfortunately no date known when it will be back
This prestigious volume presents five state-of-the-art survey papers on time series econometrics, and a modern financial econometrics software package. Starting with a survey of recent theoretical developments for time series models with GARCH errors, the contributions go on to examine the bootstrapping of financial time series, developments in futures hedging, measures of fit for rational expectations models, asset pricing with observable stochastic discount factors, and a financial econometrics software package for estimating and forecasting ARCH models. Each of the papers blends theoretical and empirical issues, enabling theoreticians and practitioners alike to keep up with the most recent developments in the field. The volume as a whole makes a significant new contribution to the literature.
ISBN: 9781405107433
Dimensions: 246mm x 173mm x 15mm
Weight: 463g
264 pages