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Financial Econometrics - Roman Kozhan

This book is written as a compendium for undergraduate and graduate stu­dents in economics and finance. It also can serve as a guide for researchers and practitioners who desire to use EViews for analysing financial data. This book may be used as a textbook companion for graduate level courses in time series analysis, empirical finance and financial econometrics.

It is assumed that the reader has a basic background in probability theory and mathematical statistics


Year 2010



Chapter 1. Introduction to EViews 6.01.1. Workfiles in EViews1.2. ObjectsSeriesGroupsSamplesSample Commands1.3. Eviews Functions 1.3.1. Operators1.3.2. Basic Mathematical Functions1.3.3. Statistical functions1.3.4. Statistical Distribution Functions1.4. Programming in Eviews1.4.1. Program VariablesChapter 2. Regression Model2.1. Introduction2.2. Linear Regression Model2.2.1. Hypothesis testing2.2.2. Residual diagnostics2.2.3. Example: Factor Model2.2.4. Programming Example2.3. Nonlinear RegressionChapter 3. Univariate Time Series: Linear Models3.1. Introduction3.2. Stationarity and Autocorrelations 3.2.1. Stationarity3.3. ARMA processes3.3.1. Autoregressive process3.3.2. Moving average process3.3.3. ARMA process3.3.4. Estimation of ARMA processes3.3.5. Example: ARMA in EViews3.3.6. Programming exampleChapter 4. Stationarity and Unit Roots Tests4.1. Introduction4.2. Unit Roots tests4.2.1. Dickey-Fuller test4.2.2. Augmented Dickey-Fuller test4.2.3. Phillips and Perron tests4.3. Stationarity tests4.4. Example: Purchasing Power ParityChapter 5. Univariate Time Series: Volatility Models5.1. Introduction5.2. The ARCH Model5.2.1. Example: Simulating an ARCH(p) model in EViews5.3. The GARCH Model5.3.1. Example: Simulating an GARCH (p, q) model in EViews5.4. GARCH model estimation5.5. GARCH Model Extensions5.5.1. EGARCH Model5.5.2. TGARCH Model5.5.3. PGARCH Model5.5.4. Prediction5.5.5. Example: GARCH EstimationChapter 6. Multivariate Time Series Analysis6.0.1. Introduction6.1. Vector Autoregression Model6.1.1. Estimation of VARs and Inference on coefficients6.1.2. Granger Causality6.1.3. Impulse Response and Variance Decompositions6.1.4. VAR in EViews6.2. Cointegration6.2.1. Spurious Regression6.2.2. Cointegration6.2.3. Error Correction Models6.2.4. Tests for Cointegration: The Engle-Granger Approach6.2.5. Example in EViews: Engle-Granger Approach6.2.6. Tests for Cointegration: The Johansen's Approach6.2.7. Example in EViews: Johansen's ApproachBibliography
 
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