000			03412mam a22003974a 4500
001			3163470
003			BD-DhUL
005			20160508145246.0
008			010608s2001 njua b 001 0 eng
010			_a 2001036264
020			_a0691088721
035			_a(OCoLC)ocm47141006
035			_a(NNC)3163470
040			_aDLC _cDLC _dC#P _dOrLoB-B _dBD-DhUL
042			_apcc
050	0	0	_aHB139 _b.G685 2001
082	0	0	_a330.015195 _221 _bGOF
100	1		_aGourieroux, Christian, _d1949-
245	1	0	_aFinancial econometrics : _bproblems, models, and methods / _cChristian Gourieroux, Joann Jasiak.
260			_aPrinceton, N.J. : _bPrinceton University Press, _cc2001.
300			_axi, 513 p. : _bill. ; _c25 cm.
490	1		_aPrinceton series in finance
504			_aIncludes bibliographical references (p. 451-476) and index.
505	0	0	_g1. _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.
520	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.".
520	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.
520	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.
520	8		_aPractitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors."--BOOK JACKET.
650		0	_aEconometrics.
650		0	_aFinance _xStatistical methods.
650		0	_aFinance _xMathematical models.
700	1		_aJasiak, Joann, _d1963-
830		0	_aPrinceton series in finance.
900			_aAUTH _bTOC
942			_2ddc _cBK
999			_c61862 _d61862