03333mam a22003614a 45000010008000000030008000080050017000160080041000330100017000740200015000910350023001060350017001290400036001460420008001820500022001900820024002121000034002362450099002702600059003693000033004284900032004615040064004935050744005575200479013015200506017805200390022865200150026766500018028266500034028446500034028787000026029128300033029383163470BD-DhUL20160508145246.0010608s2001    njua     b    001 0 eng    a  2001036264  a0691088721  a(OCoLC)ocm47141006  a(NNC)3163470  aDLCcDLCdC#PdOrLoB-BdBD-DhUL  apcc00aHB139b.G685 200100a330.015195221bGOF1 aGourieroux, Christian,d1949-10aFinancial econometrics :bproblems, models, and methods /cChristian Gourieroux, Joann Jasiak.  aPrinceton, N.J. :bPrinceton University Press,cc2001.  axi, 513 p. :bill. ;c25 cm.1 aPrinceton series in finance  aIncludes bibliographical references (p. 451-476) and index.00g1.tIntroduction --g2.tUnivariate Linear Models: The AR(1) Process and Its Extensions --g3.tMultivariate Linear Models: VARMA Representation --g4.tSimultaneity, Recursivity, and Causality Analysis --g5.tPersistence and Cointegration --g6.tConditional Heteroscedasticity: Nonlinear Autoregressive Models, ARCH Models, Stochastic Volatility Models --g7.tExpectation and Present Value Models --g8.tIntertemporal Behavior and the Method of Moments --g9.tDynamic Factor Models --g10.tDynamic Qualitative Processes --g11.tDiffusion Models --g12.tEstimation of Diffusion Models --g13.tEconometrics of Derivatives --g14.tDynamic Models for High-Frequency Data --g15.tMarket Indexes --g16.tManagement of Extreme Risks.1 a"Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a fast expansion of financial markets and an increasing variety and complexity of financial products. This has fueled the demand for people with advanced econometrics skills.".8 a"For professionals and advanced graduate students pursuing greater expertise in econometric modeling, this is a superb guide to the field's frontier. With the goal of providing information that is absolutely up-to-date - essential in today's rapidly evolving financial environment - Gourieroux and Jasiak focus on methods related to current research and those modeling techniques that seem relevant to future advances. They present a balanced synthesis of financial theory and statistical methodology.8 aRecognizing 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.8 aPractitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors."--BOOK JACKET. 0aEconometrics. 0aFinancexStatistical methods. 0aFinancexMathematical models.1 aJasiak, Joann,d1963- 0aPrinceton series in finance.