Financial econometrics :
Gourieroux, Christian, 1949-
Financial econometrics : problems, models, and methods / Christian Gourieroux, Joann Jasiak. - Princeton, N.J. : Princeton University Press, c2001. - xi, 513 p. : ill. ; 25 cm. - Princeton series in finance .
Includes bibliographical references (p. 451-476) and index.
Focuses on methods related to current research and those modeling techniques that seem relevant to future advances. Presents a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies.
9780691088723 0691088721
2001036264
Finance--Statistical methods.
Econometrics.
Finance--Mathematical models.
HB139 / .G685 2001
330.01'5195
Financial econometrics : problems, models, and methods / Christian Gourieroux, Joann Jasiak. - Princeton, N.J. : Princeton University Press, c2001. - xi, 513 p. : ill. ; 25 cm. - Princeton series in finance .
Includes bibliographical references (p. 451-476) and index.
Focuses on methods related to current research and those modeling techniques that seem relevant to future advances. Presents a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies.
9780691088723 0691088721
2001036264
Finance--Statistical methods.
Econometrics.
Finance--Mathematical models.
HB139 / .G685 2001
330.01'5195