Financial Econometrics - From Basics to Advanced Modeling Techniques, Rachev

Автор: Yacine Ait-Sahalia
Название: Handbook of Financial Econometrics, Vol 1,1
ISBN: 044450897X ISBN-13(EAN): 9780444508973
Издательство: Elsevier Science
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Цена: 132500.00 T
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Описание: Covers advances in financial econometrics. This book features topics ranging from a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment.

Автор: Ait-Sahalia Yacine
Название: High-Frequency Financial Econometrics
ISBN: 0691161437 ISBN-13(EAN): 9780691161433
Издательство: Wiley
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Цена: 58080.00 T
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Описание: High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. This book introduces readers to these emerging methods and tools of analysis.

Автор: Song, Haiyan Witt, Stephen F. Li, Gang
Название: Advanced econometrics of tourism demand
ISBN: 041599120X ISBN-13(EAN): 9780415991209
Издательство: Taylor&Francis
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Цена: 148010.00 T
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Описание: Tourism demand is the foundation on which all tourism-related business decisions ultimately rest. This book introduces students, researchers and practitioners to the modern developments in advanced econometric methodology within the context of tourism demand analysis and illustrates these developments with actual tourism applications.

Автор: Fabozzi Frank J
Название: Basics of Financial Econometrics
ISBN: 111857320X ISBN-13(EAN): 9781118573204
Издательство: Wiley
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Цена: 110880.00 T
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Описание: An accessible guide to the growing field of financial econometrics As finance and financial products have become more complex, financial econometrics has emerged as a fast-growing field and necessary foundation for anyone involved in quantitative finance.

Автор: Campbell, John W.
Название: The econometrics of financial markets
ISBN: 0691043019 ISBN-13(EAN): 9780691043012
Издательство: Wiley
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Цена: 73920.00 T
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Описание: Covers the spectrum of empirical finance, including the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, and the term structure of interest rates, dynamic models of economic equilibrium.

Автор: Yacine Ait-Sahalia
Название: Handbook of Financial Econometrics, Vol 2,2
ISBN: 0444535489 ISBN-13(EAN): 9780444535481
Издательство: Elsevier Science
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Цена: 84210.00 T
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Описание: Applied financial econometrics subjects are featured in this second volume, with papers that survey important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. A landmark in its coverage, this volume should propel financial econometric research for years.

Автор: Hautsch, Nikolaus
Название: Econometrics of Financial High-Frequency Data
ISBN: 3642219241 ISBN-13(EAN): 9783642219245
Издательство: Springer
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Цена: 172350.00 T
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Описание: The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.

Автор: Islam
Название: Applied Financial Econometrics in E-Commerce
ISBN: 0444513086 ISBN-13(EAN): 9780444513083
Издательство: Elsevier Science
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Цена: 93340.00 T
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Описание: Deals with the investigation of the contemporary financial issues of the e-commerce market.

Автор: Gourieroux, Christian Jasiak, Joann
Название: Financial econometrics
ISBN: 0691088721 ISBN-13(EAN): 9780691088723
Издательство: Wiley
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Цена: 149950.00 T
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Описание: Financial econometrics is a great success story in economics. Intended for professionals and advanced graduate students pursuing expertise in econometric modeling, this guide focuses on methods related to foregoing research and those modeling techniques that seem relevant to future advances.