Financial Econometrics
Subtitle: With Eviews
Publisher: Bookboon.com
Published: 2013
ISBN-13: 9788776814274
Table of contents: title: Preface; title: 1. Introduction to EViews 6.0; title: 1.1 Workfiles in EViews; title: 1.2 Objects; title: 1.3 Eviews Functions; title: 1.4 Programming in Eviews; title: 2. Regression Model; title: 2.1 Introduction; title: 2.2 Linear Regression Model; title: 2.3 Nonlinear Regression; title: 3. Univariate Time Series: Linear Models; title: 3.1 Introduction; title: 3.2 Stationarity and Autocorrelations; title: 3.3 ARMA processes; title: 4. Stationarity and Unit Roots Tests; title: 4.1 Introduction; title: 4.2 Unit Roots tests; title: 4.3 Stationarity tests; title: 4.4 Example: Purchasing Power Parity; title: 5. Univariate Time Series: Volatility Models; title: 5.1 Introduction; title: 5.2 The ARCH Model; title: 5.3 The GARCH Model; title: 5.4 GARCH model estimation; title: 5.5 GARCH Model Extensions; title: 6. Multivariate Time Series Analysis; title: 6.1 Vector Autoregression Model; title: 6.2 Cointegration