ABSTRACT

This book provides an essential toolkit for all students wishing to know more about the modelling and analysis of financial data. Applications of econometric techniques are becoming increasingly common in the world of finance and this second edition of an established text covers the following key themes:- unit roots, cointegration and other develop

chapter 3|15 pages

Overview of estimation methods

chapter 9|17 pages

State space models and the Kalman filter

chapter 10|30 pages

Frequency domain analysis of time series

chapter 13|40 pages

Panel data analysis

chapter 14|24 pages

Research tools and sources of information