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2008 | 8 | 5--12
Tytuł artykułu

Financial Econometrics - 25 Years Later

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
It has been a quarter of a century since the day being considered as the birth of the new area of research, called financial econometrics. On one hand, this field is considered as part of econometrics, particularly dynamic econometrics, on the other hand it is part of modern finance.(fragment of text)
Rocznik
Tom
8
Strony
5--12
Opis fizyczny
Twórcy
  • Wrocław University of Economics, Poland
Bibliografia
  • Bollerslev, T. (1986), Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 31, 307-327.
  • Bollerslev, T., Engle, R. F., Wooldridge, J. (1988), A Capital Asset Pricing Model with Time-Varying Covariances, Journal of Political Economy, 96, 116-131.
  • Campbell, J. Y., Lo, A. W., MacKinlay, A. C. (1997), The Econometrics of Financial Markets, Princeton University Press, Princeton.
  • Dickey, D. A., Fuller, W. A. (1979), Distribution of the Estimates for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74, 427-431.
  • Dickey, D. A., Fuller, W. A. (1981), Likelihood Ratio Statistics for Autoregressive Time Series with a Unit root, Econometrica, 49, 1057-1072.
  • Engle, R. F. (1982), Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, 50, 987-1007.
  • Engle, R. F. (2002), Dynamic Conditional Correlation: a Simple Class of Multivariate GARCH Models, Journal of Business and Economic Statistics, 20, 339-350.
  • Engle, R. F. (2004), Risk and Volatility: Econometric Models and Financial Practice, in: Les Prix Nobel, Nobel Foundation, Stockholm.
  • Engle, R. F., Lilien, D. M., Robins, R. P. (1987), Estimating Time-Varying Risk Premia in the Term Structure: the ARCH-M Model, Econometrica, 55, 391-407.
  • Engle, R. F., Ng, V. K., Rothschild, M. (1990), Factor-ARCH Covariance Structure: Empirical Tests for Treasury Bills, Journal of Econometrics, 45, 213-237.
  • Engle, R. F., Russell, J. R. (1998), Autoregressive Conditional Duration: a New Model for Irregularly Spaced Transaction Data, Econometrica, 66, 1127-1162.
  • Fuller, W. A. (1976), Introduction to StatisticalTtime Series, Wiley, New York.
  • Granger, C. W. J. (1981), Some Properties of Time Series Data and Their Use in Econometric Model Specification, Journal of Econometrics, 16, 121-130.
  • Granger, C. W. J., Newbold, P. (1974), Spurious Regressions in Econometrics, Journal of Econometrics, 2, 111-120.
  • Johansen, S. (1988), Statistical Analysis of Cointegration Vectors, Journal of Dynamics and Control, 12, 231-254.
  • Johansen, S. (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica, 59, 1551-1580.
  • Mandelbrot, B. (1963), The Variation of Certain Speculative Prices, Journal of Business, 36, 394-419.
  • O'Hara, M. (1995), Market Microstructure Theory, Blackwell, Oxford.
  • Sims, C. (1980), Macroeconomics and Reality, Econometrica, 48, 1-48.
  • Taylor, S. J. (1982), Financial Returns Modeled By the Product of Two Stochastic Processes - A Study of The Daily Sugar Prices 1961-75, in: Anderson, O.D.(ed.), Time Series Analysis:Theory and Practice, North-Holland, Amsterdam, 203-226.
  • Taylor, S. J. (1986), Modelling Financial Time Series, Wiley, Chichester.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171257117

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