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Econometric Analysis of Financial Markets (Paperback, Softcover reprint of the original 1st ed. 1994)
Loot Price: R2,941
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Econometric Analysis of Financial Markets (Paperback, Softcover reprint of the original 1st ed. 1994)
Series: Studies in Empirical Economics
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This volume evolved from a conference on "Financial Markets
Economet- rics" held at the ZEW (Zentrum fiir Europaische
Wirtschaftsforschung) in Mannheim, Germany in February, 1992.
However, not all papers included in this volume were presented at
the conference. In some cases the papers are follow-up papers to
the ones presented. The purpose of the conference was to bring
together researchers from several European countries to discuss
their applications of recent economet- ric methods to the analysis
of financial markets. From a methodological point of view the main
emphasis of the conference papers was on cointe- gration analysis
and ARCH modelling. In . cointegration analysis the links between
long-run components of time series are studied and the methods can
.be applied to the determination of equilibrium relationships
between the vari- ables, whereas ARCH models (ARCH is the acronym
of autoregressive condi- tional heteroskedasticity) are concerned
with the measurement and analysis of changing variances in time
series. These two models have been the most significant
innovations' for the empirical analysis of financial time series in
recent years. Six papers of this volume apply cointegration
analysis (the papers by MacDonald/Marsh, Hansen, Ronning, Garbers,
Kirchgassner/Wolters, and Kunst/Polasek) and seven papers deal with
ARCH models (Kramer/Runde, Drost, Kunst/Polasek, Kugler,
Eggington/Hall, Koedijk/Stork/deVries, and Demos/Sentana/Shah).
Other econometric methods and models applied in the papers include
factor analysis (Eggington/Hall and Demos/Sentana/- Shah), vector
autoregressions (Kirchgassner/Wolters and Kunst/Polasek),
Markov-switching models (Garbers and Kaehler /Marnet), spectral
analysis (Kirchgassner/Wolters), stable Paretian distributions
(Kramer/Runde and Drost) and ARFIMA models (Drost).
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