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- Springer-Verlag Berlin and Heidelberg GmbH & Co. KG 2006; US$ 95.00
Provides information on volatility risk. This book includes hedging of plain-vanilla options and valuation of exotic options, no longer limited to the Black-Scholes framework with constant volatility. It analyses various interest-rate models, examines liquid primary and derivative assets, and identifies the sources of associated trading risks. more...
- Springer 2007; US$ 179.00
This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: market microstructure, tick-by-tick data, bond and foreign exchange markets and large dimensional volatility modelling. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit... more...
- Princeton University Press 2008; US$ 42.00
The core methods in today's econometric toolkit are linear regression for statistical control, instrumental variables methods for the analysis of natural experiments, and differences-in-differences methods that exploit policy changes. In the modern experimentalist paradigm, these techniques address clear causal questions such as: Do smaller classes... more...
- Springer 2009; US$ 129.00
Standard methods for estimating empirical models in economics and many other fields rely on strong assumptions about functional forms and the distributions of unobserved random variables. Often, it is assumed that functions of interest are linear or that unobserved random variables are normally distributed. Such assumptions simplify estimation and... more...
- Princeton University Press 2011; US$ 115.00
Hayashi's Econometrics promises to be the next great synthesis of modern econometrics. It introduces first year Ph.D. students to standard graduate econometrics material from a modern perspective. It covers all the standard material necessary for understanding the principal techniques of econometrics from ordinary least squares through cointegration.... more...
- Cambridge University Press 1986; US$ 28.00
The advent of electronic computing permits the empirical analysis of economic models of far greater subtlety and rigour than before. more...
- Oxford University Press 2004; US$ 64.99
This book provides a comprehensive and unified treatment of finite sample statistics and econometrics, a field that has evolved in the last five decades. Within this framework, this is the first book which discusses the basic analytical tools of finite sample econometrics, and explores their applications to models covered in a first year graduate course... more...
- Princeton University Press 2011; US$ 110.00
The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be just as devastating as macroevents such as share-price fluctuations. A comprehensive introduction,... more...
- Palgrave Macmillan 2005; US$ 47.00
Financial econometrics is one of the greatest on-going success stories of recent decades, as it has become one of the most active areas of research in econometrics. In this book, Michael Clements presents a clear and logical explanation of the key concepts and ideas of forecasts of economic and financial variables. He shows that forecasts of the single... more...