اقتصادسنجی مالی ۲۰۰۸
Financial Econometrics 2008

1. Cover Page

2. Title Page

3. Copyright Page

4. List of figures

5. List of tables

6. Acknowledgements

7. Preface

1 Stochastic processes and financial data generating processes

2 Commonly applied statistical distributions and their relevance

3 Overview of estimation methods

4 Unit roots, cointegration and other comovements in time series

5 Time-varying volatility models: GARCH and stochastic volatility

6 Shock persistence and impulse response analysis

7 Modelling regime shifts: Markov switching models

8 Present value models and tests for rationality and market efficiency

9 State space models and the Kalman filter

10 Frequency domain analysis of time series

11 Limited dependent variables and discrete choice models

12 Limited dependent variables and truncated and censored samples

13 Panel data analysis

14 Research tools and sources of information