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Financial Econometrics Using Stata (Paperback)
Loot Price: R2,087
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Financial Econometrics Using Stata (Paperback)
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Financial Econometrics Using Stata is an essential reference for
graduate students, researchers, and practitioners who use Stata to
perform intermediate or advanced methods. After discussing the
characteristics of financial time series, the authors provide
introductions to ARMA models, univariate GARCH models, multivariate
GARCH models, and applications of these models to financial time
series. The last two chapters cover risk management and contagion
measures. After a rigorous but intuitive overview, the authors
illustrate each method by interpreting easily replicable Stata
examples.
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