Financial econometrics : problems, models, and methods
Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a f...
保存先:
| 主要な著者: | , |
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| フォーマット: | Livre numérique |
| 言語: | Anglais |
| 出版事項: |
Princeton, NJ :
Princeton University Press
[2018].
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| 主題: | |
| オンライン･アクセス: | Accès Université Orléans et IFPM |
| 注記: |
Notice rédigée d après consultation, 2020-02-11 Titre provenant de la page de titre du document numérisé Reproduction numérique de l'édition de Princeton ; Oxford : Princeton University Press, cop. 2001 La pagination de l'édition imprimée correspondante est de : XI-513 pages Cyberlibris (ScholarVox) corpus sciences économiques et gestion |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Financial econometrics, problems, models and methods, Christian Gourieroux, Joann Jasiak, 2001, Princeton, Princeton University Press, 1 vol. (XI-513 p.), Princeton series in finance / Darrell Duffie, Stephen Schaefer, 0-691-08872-1 |
| 要約: | Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a fast expansion of financial markets and an increasing variety and complexity of financial products. This has fueled the demand for people with advanced econometrics skills. For professionals and advanced graduate students pursuing greater expertise in econometric modeling, this is a superb guide to the field's frontier. With the goal of providing information that is absolutely up-to-date--essential in today's rapidly evolving financial environment--Gourieroux and Jasiak focus on methods related to foregoing research and those modeling techniques that seem relevant to future advances. They present a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies. Practitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors. This authoritative, state-of-the-art reference text is ideal for upper-level graduate students, researchers, and professionals seeking to update their skills and gain greater facility in using econometric models. All will benefit from the emphasis on practical aspects of financial modeling and statistical inference. Doctoral candidates will appreciate the inclusion of detailed mathematical derivations of the deeper results as well as the more advanced problems concerning high-frequency data and risk control. By establishing a link between practical questions and the answers provided by financial and statistical theory, the book also addresses the needs of applied researchers employed by financial institutions |
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| 記述事項: | Notice rédigée d après consultation, 2020-02-11 Titre provenant de la page de titre du document numérisé Reproduction numérique de l'édition de Princeton ; Oxford : Princeton University Press, cop. 2001 La pagination de l'édition imprimée correspondante est de : XI-513 pages Cyberlibris (ScholarVox) corpus sciences économiques et gestion |
| フォーマット: | Nécessite un navigateur et un lecteur de fichier PDF |
| 書誌: | Bibliogr. p. 451-476. Index |
| ISBN: | 0691187029 (PDF) 9780691187020 (PDF) |
| アクセス: | L'accès en ligne est réservé aux établissements ou bibliothèques ayant souscrit l'abonnement. Cyberlibris |