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Trang 1Financial Econometrics With Eviews
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Roman Kozhan
Financial Econometrics
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Financial Econometrics – with EViews
© 2010 Roman Kozhan & Ventus Publishing ApS ISBN 978-87-7681-427-4
To my wife Nataly
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Trang 4Financial Econometrics
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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
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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
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© Deloitte & Touche LLP and affiliated entities.
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Trang 6Financial Econometrics
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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
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