Roman KozhanFinancial Econometrics With Eviews Download free books at... Download free eBooks at bookboon.com2 Roman Kozhan Financial Econometrics... Download free eBooks at bookboon.co
Trang 1Roman Kozhan
Financial Econometrics With Eviews
Download free books at
Trang 2Download free eBooks at bookboon.com
2
Roman Kozhan
Financial Econometrics
Trang 3Download free eBooks at bookboon.com
3
Financial Econometrics – with EViews
© 2010 Roman Kozhan & Ventus Publishing ApS ISBN 978-87-7681-427-4
To my wife Nataly
Trang 4Download free eBooks at bookboon.com
Click on the ad to read more
Financial Econometrics
4
Contents
Contents
Preface
1 Introduction to EViews 6.0
1.1 Workiles in EViews
1.2 Objects
1.3 Eviews Functions
1.4 Programming in Eviews
2 Regression Model
2.1 Introduction
2.2 Linear Regression Model
2.3 Nonlinear Regression
3 Univariate Time Series: Linear Models
3.1 Introduction
3.2 Stationarity and Autocorrelations
3.3 ARMA processes
6
7
8
10
18 22
34
34
34 52
54
54
54 59
www.sylvania.com
We do not reinvent the wheel we reinvent light.
Fascinating lighting offers an ininite spectrum of possibilities: Innovative technologies and new markets provide both opportunities and challenges
An environment in which your expertise is in high demand Enjoy the supportive working atmosphere within our global group and beneit from international career paths Implement sustainable ideas in close cooperation with other specialists and contribute to inluencing our future Come and join us in reinventing light every day.
Light is OSRAM
Trang 5Download free eBooks at bookboon.com
Click on the ad to read more
Financial Econometrics
5
Contents
4 Stationarity and Unit Roots Tests
4.1 Introduction
4.2 Unit Roots tests
4.3 Stationarity tests
4.4 Example: Purchasing Power Parity
5 Univariate Time Series: Volatility Models
5.1 Introduction
5.2 The ARCH Model
5.3 The GARCH Model
5.4 GARCH model estimation
5.5 GARCH Model Extensions
6 Multivariate Time Series Analysis
6.1 Vector Autoregression Model
6.2 Cointegration
Bibliography
69
69
69
74 75
80
80
80
83
86 87
95
95
103
117
360°
thinking
© Deloitte & Touche LLP and affiliated entities.
Discover the truth at www.deloitte.ca/careers
Trang 6Download free eBooks at bookboon.com
Financial Econometrics
6
Preface
Preface
The aim of this textbook is to provide a step-by-step guide to financial econometrics
using EViews 6.0 statistical package It contains brief overviews of econometric
concepts, models and data analysis techniques followed by empirical examples of
how they can be implemented in EViews
This book is written as a compendium for undergraduate and graduate
stu-dents 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
The material covered in the book includes concepts of linear regression,
uni-variate and multiuni-variate time series modelling and their implementation in EViews
Chapter 1 briefly introduces commands, structure and programming language of
the EViews package Chapter 2 provides an overview of the regression analysis and
its inference Chapters 3 to 5 cover some topics of univariate time series analysis
including linear models, GARCH models of volatility, unit root tests Chapter 6
introduces modelling of multivariate time series