Financial Econometrics

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ISBN: 9780415426695 | 0415426693
Cover: Nonspecific Binding
Copyright: 11/21/2008

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An essential toolkit for all students wishing to know more about the modelling of financial time series, this second edition, including new chapters which cover limited dependent variables and panel data, is a key resource for all graduate and advanced undergraduate students of econometrics and finance.

List of figures	p. ix
List of tables	p. x
Acknowledgements	p. xii
Preface	p. xiv
Stochastic processes and financial data generating processes	p. 1
Introduction	p. 1
Stochastic processes and their properties	p. 5
The behaviour of financial variables and beyond	p. 8
Commonly applied statistical distributions and their relevance	p. 15
Normal distributions	p. 15
x[superscript 2]-distributions	p. 23
t-distributions	p. 25
F-distributions	p. 28
Overview of estimation methods	p. 30
Basic OLS procedures	p. 30
Basic ML procedures	p. 32
Estimation when iid is violated	p. 33
General residual distributions in time series and cross-section modelling	p. 35
MM and GMM approaches	p. 40
Unit roots, cointegration and other comovements in time series	p. 45
Unit roots and testing for unit roots	p. 45
Cointegration	p. 49
Common trends and common cycles	p. 51
Examples and cases	p. 53
Empirical literature	p. 58
Time-varying volatility models: GARCH and stochastic volatility	p. 66
ARCH and GARCH and their variations	p. 66
Multivariate GARCH	p. 70
Stochastic volatility	p. 74
Examples and cases	p. 75
Empirical literature	p. 82
Shock persistence and impulse response analysis	p. 89
Univariate persistence measures	p. 90
Multivariate persistence measures	p. 92
Impulse response analysis and variance decomposition	p. 95
Non-orthogonal cross-effect impulse response analysis	p. 98
Examples and cases	p. 99
Empirical literature	p. 108
Modelling regime shifts: Markov switching models	p. 113
Markov chains	p. 113
Estimation	p. 114
Smoothing	p. 117
Time-varying transition probabilities	p. 119
Examples and cases	p. 120
Empirical literature	p. 126
Present value models and tests for rationality and market efficiency	p. 131
The basic present value model and its time series characteristics	p. 131
The VAR representation	p. 133
The present value model in logarithms with time-varying discount rates	p. 136
The VAR representation for the present value model in the log-linear form	p. 138
Variance decomposition	p. 139
Examples and cases	p. 140
Empirical literature	p. 147
State space models and the Kalman filter	p. 151
State space expression	p. 151
Kalman filter algorithms	p. 152
Time-varying coefficient models	p. 153
State space models of commonly used time series processes	p. 154
Examples and cases	p. 158
Empirical literature	p. 164
Frequency domain analysis of time series	p. 168
The Fourier transform and spectra	p. 168
Multivariate spectra, phases and coherence	p. 172
Frequency domain representations of commonly used time series processes	p. 173
Frequency domain analysis of the patterns of violation of white noise conditions	p. 175
Examples and cases	p. 182
Empirical literature	p. 194
Limited dependent variables and discrete choice models	p. 198
Probit and logit formulations	p. 199
Multinomial logit models and multinomial logistic regression	p. 202
Ordered probit and logit	p. 205
Marginal effects	p. 207
Examples and cases	p. 210
Empirical literature	p. 220
Limited dependent variables and truncated and censored samples	p. 226
Truncated and censored data analysis	p. 226
The Tobit model	p. 230
Generalisation of the Tobit model: Heckman and Cragg	p. 233
Examples and cases	p. 234
Empirical literature	p. 242
Panel data analysis	p. 249
Structure and organisation of panel data sets	p. 250
Fixed effects vs. random effects models	p. 252
Random parameter models	p. 260
Dynamic panel data analysis	p. 264
Examples and cases	p. 269
Empirical literature	p. 278
Research tools and sources of information	p. 289
Financial economics and econometrics literature on the Internet	p. 289
Econometric software packages for financial and economic data analysis	p. 291
Learned societies and professional associations	p. 294
Organisations and institutions	p. 299
Index	p. 313
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Financial Econometrics

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