Financial Econometrics Using Stata

Simona Boffelli, Giovanni Urga (Autoren)

Buch | Softcover

272 Seiten

2016
Stata Press (Verlag)
978-1-59718-214-0 (ISBN)

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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.

Introduction to financial time series. ARMA models. Modeling volatilities, ARCH models, and GARCH models. Multivariate GARCH models. Risk management. Contagion analysis.

Erscheinungsdatum	10.03.2017
Verlagsort	College Station
Sprache	englisch
Maße	152 x 229 mm
Gewicht	560 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Computerprogramme / Computeralgebra
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
ISBN-10	1-59718-214-1 / 1597182141
ISBN-13	978-1-59718-214-0 / 9781597182140
Zustand	Neuware