Book Description

Time series econometrics is used for predicting future developments of variables of interest such as economic growth, stock market volatility or interest rates. A model has to be constructed, accordingly, to describe the data generation process and to estimate its parameters. Modern tools to accomplish these tasks are provided in this volume, which also demonstrates by example how the tools can be applied. ... Read more

Book Description

Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a fast expansion of financial markets and an increasing variety and complexity of financial products. This has fueled the demand for people with advanced econometrics skills.

For professionals and advanced graduate students pursuing greater expertise in econometric modeling, this is a superb guide to the field's frontier. With the goal of providing information that is absolutely up-to-date--essential in today's rapidly evolving financial environment--Gourieroux and Jasiak focus on methods related to foregoing research and those modeling techniques that seem relevant to future advances. They present a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies. Practitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors.

This authoritative, state-of-the-art reference text is ideal for upper-level graduate students, researchers, and professionals seeking to update their skills and gain greater facility in using econometric models. All will benefit from the emphasis on practical aspects of financial modeling and statistical inference. Doctoral candidates will appreciate the inclusion of detailed mathematical derivations of the deeper results as well as the more advanced problems concerning high-frequency data and risk control. By establishing a link between practical questions and the answers provided by financial and statistical theory, the book also addresses the needs of applied researchers employed by financial institutions.

... Read more

Reviews (4)

Sloppy
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.

A great introduction to financial econometrics
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.

Victor, try Google
(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

Petition: please provide table of contents
How can the authors and the publisher expect people to buy this book without providing the table of contents?

... ... Read more

Book Description

A blueprint for understanding and interpreting essential economic information

From the publishers of The Economist, the renowned international business weekly, this practical resource offers a detailed road map of all the major—and many of the less well-known—economic indicators in existence today. Explaining exactly what they are, why they are significant, how reliable they are, and—perhaps, most importantly—how to interpret them, it covers over 100 indicators, including:

• GDP
• Population, employment, unemployment
• Public expenditure
• Personal and disposable income
• Fixed investments
• Imports and exports
• Nominal exchange rates
• Money supply and money stock
• Wages, earnings, and labor costs.

Clearly organized, accurate, and accessible, The Economist Guide to Economic Indicators is an indispensible reference for understanding key economic data from around the world.

Success in today's global business environment requires a thorough knowledge of important economic figures and a firm grasp of their meaning. Now, The Economist Guide to Economic Indicators provides you with a detailed road map of all the major—and many of the less well-known—indicators that exist worldwide.

Economic indicators provide invaluable insights into how different economies and different markets are performing, enabling practitioners to adjust their investment strategies in order to achieve the best return. However, in order to make the right decisions, you must know how to interpret the relevant indicators. The Economist Guide to Economic Indicators enables you to read—and use—indicators accurately and effectively.

Covering approximately 100 indicators—including GDP, population, exchange rates, disposable income, public expenditure, and bond yields—this practical resource explains exactly what they are, why they are significant, where and when they're published, and how reliable they are. Perhaps most importantly, the Guide shows you how to interpret these indicators correctly, providing straightforward guidelines through which you can distill such vital information as start and end points for changes, inflational influences, time frames, and yardsticks for judging future trends.

Organized to highlight linkages and aid interpretation, and incorporating data for the fifteen largest industrial countries, this concise, accessible guide is essential for anyone eager to be brought up to speed on these key economic measurements. ... Read more

Reviews (3)

If only economics were that easy
True to the style of The Economist, this book makes everything seem easier than it really is. However, for people who spend too much time thinking about economic issues, this is actually rather refreshing, much like a cold beer after a long day's work.

Some examples: "In the long term, the growth in economic output depends on the number of people working and output per worker (productivity)" (Page 41); Or "In general, the more optimistic consumers are, the more likely they are to spend money. This boosts consumer spending and economic output" (Page 93)...

...One begins to yearn for the days where economics was more of an explanatory and less a mathematical science.

The guide is divided into a number of chapters discussing issues and examples related to
- How economic activity is calculated, and what the main indicators GDP/GNP/NNI capture and do not capture, as well as what changes in these indicators or their components mean.
- Employment indicators such as employment by sector or the unemployment rate
- Balance of payments and fiscal indicators, such as tax revenue or budget deficit
- Consumer indicators, such as disposable income or consumer confidence and their significance
- Investment and savings indicators, such as investment intentions or sales/inventory ratios
- Business indicators, including business conditions, auto sales, construction orders and other common stats
- Exchange rates and financial market indicators, such as interest rates and money supply.
- Prices and wages, like the effect of oil price changes, among others

Coverage of the most common and widely available indicators is fairly comprehensive. Given the simplicity of the book, it is better to have a certain level of economic knowledge and opinion to be able to put the content in context. Not much different to reading The Economist, really.

A good reference guide for understanding economic indicators
The book itself will be of great use for those analysts who evaluate country risk analysis. Economic indicators sometimes tend to be hard to understand, but this guide makes them easy to comprehend and relate to each other.

A good purchase
As the title says, this book can help you make sense of economic indicators. The more you know, the easier it is for you to understand the economical aspects of society, and this seemed to add a lot more to my knowledge, and it clarified other thoughts. ... Read more

Book Description

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method.

*The first book to present a unified view of filtering techniques

*Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series

*Provides easy access to a wide spectrum of parametric and non-parametric filtering methods ... Read more

Reviews (2)

The Guide
Various types of non-stationarities are common in time series data from financial markets. This requires a guide for selecting among numerous tools to deal with the non-stationarity. A unified treatment of filters like this book is a great help since it provides a fast and rigorous introduction.

Chapter 2 is on the general linear filtering theory with cleverly designed applications for illustrative purposes. "Optimum Linear Estimation" is the focus of Chapter 3 in which the Wiener Filter and the Kalman Filters among others are studied. Chapter 4 is on Discrete Wavelet Transforms and provides applications like filtering intraday seasonality in FX market and an examination of the relation between money growth and inflation. Long memory processes with seasonal components are analyzed using wavelets in Chapter 5. Denoising of economics and financial time series is the topic of Chapter 6. The decomposition of variance across different frequency bands as well as the cross-covariance between two time-series at different scales is covered in Chapter 7. Finally, Chapter 8 is on artificial neural networks in which both an introduction to the concept and some design issues with appropriate model selection criteria are provided.

Discussison of these relatively advanced topics is very simple and clear without sacrificing important details. Highly recommended.

Easy to understand!
The book is a wonderful reference in that it brings together various filtering methods. It is an excellent introduction to the topic, clearly written and easy to understand. The text does not assume a high-level math background. Further, unlike the various books which simply provide the theory but include very few or no applications at all, this book by Gencay, Selcuk, and Whitcher has many applications that help you get the right picture. ... Read more

Book Description

Microscopic Simulation (MS) uses a computer to represent and keep track of individual ("microscopic") elements in order to investigate complex systems which are analytically intractable. A methodology that was developed to solve physics problems, MS has been used to study the relation between microscopic behavior and macroscopic phenomena in systems ranging from those of atomic particles, to cars, animals, and even humans. In finance, MS can help explain, among other things, the effects of various elements of investor behavior on market dynamics and asset pricing. It is these issues in particular, and the value of an MS approach to finance in general, that are the subjects of this book. The authors not only put their work in perspective by surveying traditional economic analyses of investor behavior, but they also briefly examine the use of MS in fields other than finance.
Most models in economics and finance assume that investors are rational. However, experimental studies reveal systematic deviations from rational behavior. How can we determine the effect of investors' deviations from rational behavior on asset prices and market dynamics? By using Microscopic Simulation, a methodology originally developed by physicists for the investigation of complex systems, the authors are able to relax classical assumptions about investor behavior and to model it as empirically and experimentally observed. This rounded and judicious introduction to the application of MS in finance and economics reveals that many of the empirically-observed "puzzles" in finance can be explained by investors' quasi-rationality.
Researchers use the book because it models heterogeneous investors, a group that has proven difficult to model. Being able to predict how people will invest and setting asset prices accordingly is inherently appealing, and the combination of computing power and statistical mechanics in this book makes such modeling possible. Because many finance researchers have backgrounds in physics, the material here is accessible.

Key Features
* Emphasizes investor behavior in determining asset prices and market dynamics
* Introduces Microscopic Simulation within a simplified framework
* Offers ways to model deviations from rational decision-making ... Read more

Reviews (1)

A good review of the topic - but not enough focus
I give it 4 stars for being one of the only books on the topic of microsimulation/agent-based modeling in finance.

The author's research is very interesting and promising. The book reviews similar microsimulation attempts by others.

However, there is no guidance as to the implementation of microsimulation studies in finance. The eauations/models of finance are easily found elsewhere .... but how do you turn them into a simulation project (?)... ... Read more

Book Description

During the past twenty years, the linear complementarity problem has emerged as an important development in mathematical programming and numerical linear algebra. The Linear Complementarity Problem is a text designed to be suitable for both classroom use and as a references for researchers. The book is ideal for graduate students pursuing an advanced degree in operations research, but it is also of importance for many related fields of study, such as: computer science, applied mathematics, engineering, business studies, etc.

* First comprehensive introductory text on the linear complementarity problem (LCP).
* Involves all three major aspects on the LCP: theory, applications, and computation.
* Text includes numerous exercises to illustrate the theory and computational procedures presented. ... Read more

Book Description

This book provides an economic and ecnonometric analysis of real estate investment and real estate market behavior.Wang examines fluctuations in the real estate business to reveal the mechanisms governing the interactions between the industry and other sectors of the economy. ... Read more

Reviews (1)

Excellent book for starter in Econometrics
Highly recommended to those study in UK!With concise explanation, helpful examples of Microfit printout, it illustrates the concept of econometric clearly.I especially recommended the chapters related to violation of assumptions of BLUE.It's best for courses with Microfit as their application software cause it explains the Microfit printout very clearly

It is available in UK bookshops though not available on Amazon. ... Read more

Book Description

Econometric Foundations establishes a new paradigm for teaching econometric problems to talented upper-level undergraduates, graduate students, and professionals. The complete package (text, accompanying CD-ROM, and electronic guide) provides relevance, clarity, and organization to those wishing to acquaint themselves with the principles and procedures for information processing and recovery from samples of economic data. In the real world such data are usually limited or incomplete, and the parameters sought are unobserved and not subject to direct observation or measurement. Econometric Foundations fully provides an operational understanding of a rich set of estimation and inference tools to master such data, including traditional likelihood based and non-traditional non-likelihood based procedures, that can be used in conjunction with the computer to address economic problems. The accompanying CD-ROM contains reviews of probability theory, principles of classical estimation and inference, and handling of ill-posed inverse problems in text-searchable electronic documents, an interactive Matrix Review manual with GAUSS LIGHTsoftware, and an electronic Examples Manual. A separate Guide, which may be accessed through the Internet, further enhances the student's mastery of the topics by providing solutions guides to the questions and problems in the text. This text, CD-ROM, and electronic guide package make Econometric Foundations the most up-to-date and comprehensive learning resource available. ... Read more

Reviews (3)

Software compatibility issue
If you read 'readme.txt' carefully, you'll find instructions on how to run examples under full GAUSS version. I use GAUSS 5.0 to run the examples, and no problems at all. To me, it's a good place to learn GAUSS programming.

Good software bundle
The book itself and the software programs themselves are "independently" valuable. Especially, GAUSS instruction programs are well organized, but the system itself is a little bit old(GAUSS 3.2 Light for WIN 95/NT) and Aptech version-up offer has already expired you might take into your account. There are huge amount of descriptions about GAUSS program not in book but in CD software, from Ruud Koning's GAUSS instruction to searchable GAUSS maling list archive(1995-1999) and very useful matrix review manual. But you may have to consider that the content of book itself does not describe any GAUSS but adds computer problem sets as bonus and that whole GAUSS computer problem requires original "ef" library inside CD and does not support higher edition of GAUSS(You should run inside GAUSS 3.2). The book is for advanced readers only(after reading Greene) and is not a classical econometric book which covers time series. So, this is best for those who are in in the field of Bayesian, nonparametric, or a little bit skewed to theory of that kind, but not good for those who are in the field of "classical" econometrics, time series and financial related. No time series stuff described at all.

good book for those taking second course in econometrics
the book is recommended reading for those who are taking a second course in econometrics, either as supplementary textbook or as a stand alone. ... Read more

Book Description

The focus of this book is on clarifying the mathematical and statistical foundations of econometrics. Therefore, the text provides all the proofs, or at least motivations if proofs are too complicated, of the mathematical and statistical results necessary for understanding modern econometric theory. In this respect, it differs from other econometrics textbooks. ... Read more

Book Description

Managerial Economics Using Excel uses the Microsoft Excel spreadsheet to create an environment that provides a readily accessible structural framework for economic analysis. Students are shown how to create and develop a variety of economic models and then easily subject these models to a range of ?what-if? investigations, designed to illustrate the economic effects of variations in both the parameters and the structure of the model. Graphs and charts can then be prepared to provide an interactive display of the comparative static effects that would normally require a large number of ?hard copy? diagrams. Thanks to the explanation and use of the Excel Solver, there is no need for calculus to consider optimisation issues, thereby allowing topics such as profit maximisation, cost minimisation, etc., to be considered in a manner thatrequires little mathematical background. Designed to be extremely user friendly, the text is the result of delivering a Managerial Economics module, based on this material, to more than 300 students, with outstanding results as stated by three external examiners. Finally, unlike many Managerial Economics texts, the material is not exclusively micro-economic based. Various macro-economic issues that impinge upon managerial decision making - such as exchange rates - are also discussed. An accompanying CD containing all of the models developed allows easy access to the material as and when instructed by the body of the text. An additional set of examination type problems are also included that are automatically marked online. ... Read more

Reviews (1)

Not a review, but a clarification.
Please note that this book is the Solution Manual for Hoy, et al's "Mathematics for Economics" and is *NOT* the solution manual for Pemberton's "Mathematics for Economists." Amazon's listing of these two together in their respective "Better Together" sections made me think that these books went together, at least initially.

Note the difference here: "Economics" vs. "Economists" in the titles of the books. Don't buy a solution manual for a book you don't have! ... Read more

Book Description

Electricity markets are structurally different to other commodities, and the real-time dynamic balancing of the electricity network involves many external factors. Because of this, it is not a simple matter to transfer conventional models of financial time series analysis to wholesale electricity prices.

The rationale for this compilation of chapters from international authors is, therefore, to provide econometric analysis of wholesale power markets around the world, to give greater understanding of their particular characteristics, and to assess the applicability of various methods of price modelling.

Researchers and professionals in this sector will find the book an invaluable guide to the most important state-of-the-art modelling techniques which are converging to define the special approaches necessary for unravelling and forecasting the behaviour of electricity prices. It is a high-quality synthesis of the work of financial engineering, industrial economics and power systems analysis, as they relate to the behaviour of competitive electricity markets.
... Read more

Book Description

Reviews (3)

An Awkward Treatment of Time Series Econometrics
Patterson's text is perhaps one of the worst econometrics textbooks that I have come across in recent years. The writing is cumbersome and unwiedy, the exposition is awkward, and the overall treatment of the subject is rather tiresome, uninspiring.

The only reason that I did not give this book a "one-star" is that it could serve a useful purpose: it can show budding econometric textbook authors how not to write a textbook.

The panacea for studying a stimulated-simulated approach TSA
Looking for miracles before examination? This is the book that I have depended on for 2 months to understand time series analysis in a logical manner. The book is an impetus for a much more simpler approach in studying econometrics. The matrix method was not left out which is a stride in understanding the greater complexities of mathematics involved in many econometrics textbook. Written in a lively fashioned aligned with some of the famous empirical studies which are pillars of modern economic thinking. The approach is based on the authors' thinking to act as a support function for many students who are indeed interested to learn the values of empirical analysis in economics. Without this book I would have never apotheosised the study of econometrics in this way. I congratulate the author for his successful scholarly work!!! Your book paved way to my success!

The Long waiting gift for beginners in time series
There are many good books on time series analysis, i.e. Enders (1995), Hamilton (1994), and Maddala and Kim (1998). Unfortunately, the books is intended for advance learner. While Enders (1995) is accessible for begginners, it seems getting old and become a nostalgia.

Fortunately, Patterson (2001) has provided a readability book for student and practitioner that all this time has been forgotten by most writers in this subject. Without going into much frighteners (and more likely will confuse the beginners) advance mathematical, matrix, and econometric theory; the book give theoretical insight into what is supposed to be known in the subject. While this book is only a complete refresher (and could be boring) for advance learner, I cannot find a better introduction book.

As detailed reference textbook, it covers basic subject on time series (i.e. ADF test, Engle-Granger procedure, cointegration, VAR, and VECM) up to several higher-level issues such as multiple unit roots, structural and seasonal problems in unit roots/cointegration, ARCH, and GARCH. This book is intended to provide students, researchers, and forecasters with a definitive, self-contained survey of time series analysis.

With intensive application, the book will attract applied academician and practitioner in business sector. 5 chapters exclusively dedicate for application, this equal to 30% of the book contain (around 230 page from 750 page contain). The subject cover in application section are popular subject: money demand, term and structure interest rate, Phillips curve, and exchnage rate. More examples also available in every chapter. From this point of view, the book delivery what its promise in the title: "Applied Econometric; A Time Series Approach".

With such a simplifying way in explaining the subject, the book will be a richly enjoy reading for undergraduate and first year graduate students of all sciences, not only in economics. This much-needed book synthesizes major developments in Time Series into a single, coherent presentation of the current state of the art of this increasingly important field. ... Read more

Book Description

David Hendry is one of the world's leading econometricians, and in this major new work he and Michael Clements provide an extended formal analysis of economic forecasting with econometric models: their analysis builds in many of the features of the real world that are often overlooked in traditional, textbook analyses of forecasting. Consequently, Clements and Hendry are able to suggest ways in which existing forecasting practices can be improved, as well as providing a rationale for some of the habitual practices of forecasters that have hitherto lacked a scientific foundation. ... Read more

Reviews (1)

Good strategies for macro economic forecasting
This is a unique text that treats economic time series forecasting with emphasis on the recent advances in econometric theory such as cointegration as well as other practical strategies such as combination forecasts. Usual text books do not have the breadth of coverage this one attempts, successfully, to achieve. In short, this one text replaces many books and papers on one's shelf. ... Read more

Book Description

This book provides a synthesis of concepts and materials that ordinarily appear separately in time seriesand econometrics literature, presenting a comprehensive review of both theoretical and applied concepts. Perhaps the most novel feature of the book is its use of Kalman filtering together with econometric and time series methodology.From a technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models.This technique was originally developed in control engineering but is becoming increasingly important in economics and operations research. The book is primarily concerned with modeling economic and social time series and with addressing the special problems that the treatment of such series pose. ... Read more

Book Description

World Development Indicators, the World Bank's respected statistical publication presents the most current and accurate information on global development on both a national level and aggregated globally. This information allows readers to monitor the progress made toward meeting the goals endorsed by the United Nations and its member countries, the World Bank, and a host of partner organizations in September 2001 in their Millennium Development Goals. The print edition of World Development Indicators 2005 allows you to consult over 80 tables and over 800 indicators for 152 economies and 14 country groups, as well as basic indicators for a further 55 economies. There are key indicators for the latest year available, important regional data, and income group analysis. The report contains six thematic presentations of analytical commentary covering: World View, People, Environment, Economy, States and Markets, and Global Links.

The CD-ROM editions contain 43 years of time series data for more than 200 countries from 1960-2003, single-year observations, and spreadsheets on many topics. It contains more than 1,000 country tables and the text from the World Development Indicators 2005 print edition and the World Bank Atlas (36th edition). The Windows® based format permits users to search for and retrieve data in spreadsheet form, create maps and charts, and fully download them into other popular software programs for study or presentation purposes. ... Read more

Book Description

Hardbound. The Handbook is a definitive reference source and teaching aid for econometricians. It examines models, estimation theory, data analysis and fieldapplications in econometrics. Comprehensive surveys, written by experts, discuss recent developments at a level suitable for professional use by economists, econometricians, statisticians, and in advanced graduate econometrics courses. ... Read more