Econometric Analysis of Financial Markets - Couverture rigide

Couverture rigide

ISBN 10 : 3790807400 ISBN 13 : 9783790807400

Editeur : Physica-Verlag GmbH & Co, 1994

Synopsis

This collection of papers represents the state of the art in the application of recent econometric methods to the analysis of financial markets. From a methodological point of view the main emphasis is on cointegration analysis and ARCH modelling. In cointegration analysis the links between long-run components of time series are studied. The methods used can be applied to the determination of equilibrium relationships between the variables, whereas ARCH models are concerned with the measurement and analysis of changing variances in time series. These econometric models have been the most significant innovations for the empirical analysis of financial time series in recent years. Other econometric methods and models applied in the papers include factor analysis, vector autoregressions, and Markov-switching models. The papers cover a wide range of issues and theories in financial and international economics: the term structure of interest rates, exchange-rate determination, target-zone dynamics, stock-market efficiency, and option pricing.

Détails de l'édition

• Éditeur: Physica-Verlag GmbH & Co
• Date d'édition: 1994
• Langue: anglais
• ISBN 10: 3790807400
• ISBN 13: 9783790807400
• Reliure: Relié
• Nombre de pages: 238
• Éditeur: Kaehler Jürgen, Kugler Peter
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible