Financial Econometrics Using Stata

Simona Boffelli, Giovanni Urga

$145

Paperback

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English

Stata Press
01 November 2016

Economic statistics; Finance; Mathematical & statistical software

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.

By: Simona Boffelli, Giovanni Urga
Imprint: Stata Press
Country of Publication: United States
Dimensions: Height: 229mm, Width: 152mm, Spine: 18mm
Weight: 1.250kg
ISBN: 9781597182140
ISBN 10: 1597182141
Pages: 272
Publication Date: 01 November 2016
Audience: College/higher education , Professional and scholarly , Further / Higher Education , Undergraduate
Format: Paperback
Publisher's Status: Active

Introduction to financial time series. ARMA models. Modeling volatilities, ARCH models, and GARCH models. Multivariate GARCH models. Risk management. Contagion analysis.

Simona Boffelli, PhD, is a quantitative analyst at Fineco Bank in Milan, part of the Unicredit Group. She is a researcher associate to the Department of Management, Economics and Quantitative Methods of Bergamo University in Italy and to the Centre for Econometric Analysis of Cass Business School in London. Giovanni Urga, PhD, is a professor of finance and econometrics and the director of the Centre for Econometric Analysis at Cass Business School in London, and is a professor of econometrics at the Department of Management, Economics and Quantitative Methods of Bergamo University in Italy.

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Financial Econometrics Using Stata

Simona Boffelli, Giovanni Urga

$145

Paperback

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