Contributions to Financial Econometrics Theoretical and Practical Issues

by McAleer, Michael; Oxley, Les

• ISBN13: 9781405107433
• ISBN10: 140510743X
• Edition: 1st
• Format: Paperback
• Copyright: 2003-09-19
• Publisher: Wiley-Blackwell

Summary

VENKATARAMA KRISHNAN, PhD, is Professor Emeritus in the Department of Electrical Engineering at the University of Massachusetts Lowell. Previously, he has taught at the Indian Institute of Science, Polytechnic University, the University of Pennsylvania, Princeton University, Villanova University, and Smith College. He also worked for two years (1974-1976) as a senior systems analyst for Dynamics Research Corporation on estimation problems associated with navigation and guidance and continued as their consultant for more than a decade. Professor Krishnan's research interests include estimation of steady-state queue distributions, tomographic imaging, biosystems, and digital, aerospace, control, communications, and stochastic systems. As a senior member of IEEE, Dr. Krishnan has authored three other books in addition to technical publications.

Author Biography

Michael McAleer is Professor of Economics at the University of Western Australia. He has published widely in econometrics, financial econometrics, time series analysis, statistics, modelling environmental systems, and tourism research.

Les Oxley is Professor of Economics at the University of Canterbury, Christchurch, New Zealand and Adjunct Professor at the University of Western Australia. He has published widely in applied econometrics, macroeconometrics and cliometrics.

Table of Contents

The Econometrics of Financial Time Series	1	(8)
Michael McAleer
Les Oxley
Recent Theoretical Results for Time Series Models with GARCH Errors	9	(26)
W. K. Li
Shiqing Ling
Michael McAleer
Bootstrapping Financial Time Series	35	(30)
Esther Ruiz
Lorenzo Pascual
Measures of Fit for Rational Expectations Models	65	(56)
Tom Engsted
Some Recent Developments in Futures Hedging	121	(40)
Donald Lien
Y. K. Tse
Asset Pricing with Observable Stochastic Discount Factors	161	(50)
Peter Smith
Michael Wickens
G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models	211	(40)
Sebastien Laurent
Jean-Philippe Peters
Index	251