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Financial Econometrics Using Stata by Simona Boffelli

Financial Econometrics Using Stata

by Simona Boffelli
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Book cover type: Paperback
  • ISBN13: 9781597182140
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Taylor & Francis
  • Publisher Imprint: Stata Press
  • Publication Date:
  • Pages: 272
  • Original Price: GBP 68.99
  • Language: English
  • Edition: N/A
  • Item Weight: 499 grams
  • BISAC Subject(s): Probability & Statistics / General and Finance / General

Financial Econometrics Using Stata is an essential reference for graduate students, researchers, and practitioners who use Stata to perform intermediate or advanced methods. After discussing the characteristics of financial time series, the authors provide introductions to ARMA models, univariate GARCH models, multivariate GARCH models, and applications of these models to financial time series. The last two chapters cover risk management and contagion measures. After a rigorous but intuitive overview, the authors illustrate each method by interpreting easily replicable Stata examples.

Simona Boffelli, PhD, is a quantitative analyst at Fineco Bank in Milan, part of the Unicredit Group. She is a researcher associate to the Department of Management, Economics and Quantitative Methods of Bergamo University in Italy and to the Centre for Econometric Analysis of Cass Business School in London.

Giovanni Urga, PhD, is a professor of finance and econometrics and the director of the Centre for Econometric Analysis at Cass Business School in London, and is a professor of econometrics at the Department of Management, Economics and Quantitative Methods of Bergamo University in Italy.

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