Contributions to Financial Econometrics. Theoretical and Practical Issues. Surveys of Recent Research in Economics - Product Image

Contributions to Financial Econometrics. Theoretical and Practical Issues. Surveys of Recent Research in Economics

  • ID: 2246342
  • Book
  • 264 Pages
  • John Wiley and Sons Ltd
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This prestigious volume presents five state–of–the–art survey papers on time series econometrics, and a modern financial econometrics software package. Starting with a survey of recent theoretical developments for time series models with GARCH errors, the contributions go on to examine the bootstrapping of financial time series, developments in futures hedging, measures of fit for rational expectations models, asset pricing with observable stochastic discount factors, and a financial econometrics software package for estimating and forecasting ARCH models. Each of the papers blends theoretical and empirical issues, enabling theoreticians and practitioners alike to keep up with the most recent developments in the field. The volume as a whole makes a significant new contribution to the literature.
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1. The Econometrics of Financial Time Series: Michael McAleer and Les Oxley.

2. Recent Theoretical Results for Time Series Models with GARCH Errors: W. K. Li, Shiqing Ling and Michael McAleer.

3. Bootstrapping Financial Time Series: Esther Ruiz and Lorenzo Pascual.

4. Measures of Fit for Rational Expectations Models: Tom Engsted.

5. Some Recent Developments in Futures Hedging: Donald Lien and Y. K. Tse.

6. Asset Pricing with Observable Stochastic Discount Factors: Peter Smith and Michael Wickens.

7. G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models: Sébastien Laurent and Jean–Philippe Peters.

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Michael McAleer is Professor of Economics at the University of Western Australia. He has published widely in econometrics, financial econometrics, time series analysis, statistics, modelling environmental systems, and tourism research.

Les Oxley is Professor of Economics at the University of Canterbury, Christchurch, New Zealand and Adjunct Professor at the University of Western Australia. He has published widely in applied econometrics, macroeconometrics and cliometrics.

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