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Title: Financial Econometrics: Problems, Models, and Methods. by Christian Gourieroux, Joann Jasiak ISBN: 0-691-08872-1 Publisher: Princeton Univ Pr Pub. Date: 01 November, 2001 Format: Hardcover Volumes: 1 List Price(USD): $65.00 |
Average Customer Rating: 3.5 (4 reviews)
Rating: 2
Summary: Sloppy
Comment: This book is not completely useless. It does tell you something about models that are used in finance. But the title misleads: there is a lot of description of models, but not much on estimation and inference procedures.
There is a general air of editorial sloppiness in a combination of factual errors, grammatical slips, awkward language and inscrutable logic. For example, on p.36 a process is defined to be I(1) iff its first difference is a weak white noise. And on p.172 there is this: "It is likely the asset prices to [sic] follow a nonstationary process, whereas the dividends and the excess gains are stationary processes." Huh? In the discussion of the consumption-based CAPM money and a price level are inexplicably included. Things of this kind recur through out.
Rating: 5
Summary: A great introduction to financial econometrics
Comment: The book introduces a number of topics that usually can be only found in papers. For example, the treatment of the econometrics of derivatives, although not very extensive, is excellent. In this regard the book is vastly superior to Cambell and Lo's book. Overall, the book covers a wealth of topics in very accesible and concise manner. Probably, the best introduction to modern financial econometrics for practitioners.
Rating: 3
Summary: Victor, try Google
Comment: (Forget the stars; I'm just posting the Table of Contents)
Table of Contents
Preface vii
1. Introduction 1
2. Univariate Linear Models: The AR(1) process and Its Extensions 17
3. Multivariate Linear Models: VARMA Representation 53
4. Simultaneity, Recursivty, and Casuality Analysis 81
5. Persistence and Cointegration 105
6. Conditional Heteroscedasticity: Nonlinear Autoaggressive Models, ARCH Models, Stochastic Volatility Models 117
7. Expection and Present Value Models 151
8. Intertemporal Behavior and the Method of Moments 173
9. Dynamic Factor Models 195
10. Dynamic Qualitative Proceses 219
11. Diffusion Models 241
12. Estimation of Diffusion Models 285
13. Econometrics of Derivatives 317
14. Dynamic Models for High-Freguency data 351
15. Market Indexes 247
16. Management of Extreme Risks 427
References 451
Index 477
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Title: Market Models: A Guide to Financial Data Analysis by Carol Alexander ISBN: 0471899755 Publisher: John Wiley & Sons Pub. Date: 15 November, 2001 List Price(USD): $105.00 |
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Title: Analysis of Financial Time Series by Ruey S. Tsay ISBN: 0471415448 Publisher: John Wiley & Sons Pub. Date: 15 October, 2001 List Price(USD): $99.95 |
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Title: The Econometrics of Financial Markets by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay, Andrew Y. Lo, Archie Craig MacKinlay ISBN: 0691043019 Publisher: Princeton Univ Pr Pub. Date: 09 December, 1996 List Price(USD): $85.00 |
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Title: Forecasting, Structural Time Series Models and the Kalman Filter by Andrew C. Harvey ISBN: 0521405734 Publisher: Cambridge University Press Pub. Date: 28 February, 1991 List Price(USD): $43.00 |
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Title: An Introduction to High-Frequency Finance by Michel M. Dacorogna, Ramazan Gençay, Ulrich A. Müller, Richard B. Olsen, Olivier V. Pictet ISBN: 0122796713 Publisher: Academic Press Pub. Date: May, 2001 List Price(USD): $84.95 |
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