Financial econometrics : problems, models, and methods / Christian Gourieroux, Joann Jasiak.

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.

oif 05/05/15

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