Econometric Analysis of Financial Markets is popular PDF and ePub book, written by Jürgen Kaehler in 2012-12-06, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Econometric Analysis of Financial Markets can be Read Online from any device for your convenience.
Econometric Analysis of Financial Markets Book PDF Summary
This collection of papers represents the state of the art in the applicationof 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-runcomponents 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 ofinterest rates, exchange-rate determination, target-zone dynamics, stock-market efficiency, and option pricing.
Detail Book of Econometric Analysis of Financial Markets PDF
- Author : Jürgen Kaehler
- Release : 06 December 2012
- Publisher : Springer Science & Business Media
- ISBN : 9783642486661
- Genre : Business & Economics
- Total Page : 232 pages
- Language : English
- PDF File Size : 9,7 Mb
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