Contributions to Financial Econometrics: Theoretical and Practical Issues

Name: Contributions to Financial Econometrics: Theoretical and Practical Issues
Brand: Wiley-Blackwell
SKU: 9781405107433
Price: 2587.0 INR
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by Michael McAleer

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ISBN13: 9781405107433
Binding: Paperback
Subject: N/A
Publisher: Wiley-Blackwell
Publisher Imprint: Wiley-Blackwell
Publication Date: September 19, 2003
Pages: 256
Original Price: GBP 22.75
Language: English
Edition: N/A
Item Weight: 463 grams
BISAC Subject(s): Economics / Theory

About The Book

This prestigious volume presents five state-of-the-art survey papers on time series econometrics, and a modern financial econometrics software package. Starting with a survey of recent theoretical developments for time series models with GARCH errors, the contributions go on to examine the bootstrapping of financial time series, developments in futures hedging, measures of fit for rational expectations models, asset pricing with observable stochastic discount factors, and a financial econometrics software package for estimating and forecasting ARCH models. Each of the papers blends theoretical and empirical issues, enabling theoreticians and practitioners alike to keep up with the most recent developments in the field. The volume as a whole makes a significant new contribution to the literature.

About The Author

Michael McAleer is Professor of Economics at the University of Western Australia. He has published widely in econometrics, financial econometrics, time series analysis, statistics, modelling environmental systems, and tourism research.

Les Oxley is Professor of Economics at the University of Canterbury, Christchurch, New Zealand and Adjunct Professor at the University of Western Australia. He has published widely in applied econometrics, macroeconometrics and cliometrics.

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