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Financial Econometrics With Eviews Roman Kozhan Download free books at Roman Kozhan Financial Econometrics Download free eBooks at bookboon.com Financial Econometrics – with EViews © 2010 Roman Kozhan & Ventus Publishing ApS ISBN 978-87-7681-427-4 To my wife Nataly Download free eBooks at bookboon.com Contents Financial Econometrics Contents Preface 1.1 1.2 1.3 1.4 Introduction to EViews 6.0 Workiles in EViews Objects Eviews Functions Programming in Eviews 10 18 22 2.1 2.2 2.3 Regression Model Introduction Linear Regression Model Nonlinear Regression 34 34 34 52 3.1 3.2 3.3 Univariate Time Series: Linear Models Introduction Stationarity and Autocorrelations ARMA processes 54 54 54 59 www.sylvania.com We not reinvent the wheel we reinvent light Fascinating lighting offers an ininite spectrum of possibilities: Innovative technologies and new markets provide both opportunities and challenges An environment in which your expertise is in high demand Enjoy the supportive working atmosphere within our global group and beneit from international career paths Implement sustainable ideas in close cooperation with other specialists and contribute to inluencing our future Come and join us in reinventing light every day Light is OSRAM Click on the ad to read more Download free eBooks at bookboon.com Contents Financial Econometrics 4.1 4.2 4.3 4.4 Stationarity and Unit Roots Tests Introduction Unit Roots tests Stationarity tests Example: Purchasing Power Parity 69 69 69 74 75 5.1 5.2 5.3 5.4 5.5 Univariate Time Series: Volatility Models Introduction The ARCH Model The GARCH Model GARCH model estimation GARCH Model Extensions 80 80 80 83 86 87 6.1 6.2 Multivariate Time Series Analysis Vector Autoregression Model Cointegration 95 95 103 Bibliography 117 360° thinking Discover the truth at www.deloitte.ca/careers © Deloitte & Touche LLP and affiliated entities Click on the ad to read more Download free eBooks at bookboon.com Preface Financial Econometrics Preface The aim of this textbook is to provide a step-by-step guide to financial econometrics using EViews 6.0 statistical package It contains brief overviews of econometric concepts, models and data analysis techniques followed by empirical examples of how they can be implemented in EViews This book is written as a compendium for undergraduate and graduate students in economics and finance It also can serve as a guide for researchers and practitioners who desire to use EViews for analysing financial data This book may be used as a textbook companion for graduate level courses in time series analysis, empirical finance and financial econometrics It is assumed that the reader has a basic background in probability theory and mathematical statistics The material covered in the book includes concepts of linear regression, univariate and multivariate time series modelling and their implementation in EViews Chapter briefly introduces commands, structure and programming language of the EViews package Chapter provides an overview of the regression analysis and its inference Chapters to cover some topics of univariate time series analysis including linear models, GARCH models of volatility, unit root tests Chapter introduces modelling of multivariate time series Download free eBooks at bookboon.com ... assumed that the reader has a basic background in probability theory and mathematical statistics The material covered in the book includes concepts of linear regression, univariate and multivariate... free eBooks at bookboon.com Contents Financial Econometrics Contents Preface 1.1 1.2 1.3 1.4 Introduction to EViews 6.0 Workiles in EViews Objects Eviews Functions Programming in Eviews 10 18... Kozhan Financial Econometrics Download free eBooks at bookboon.com Financial Econometrics – with EViews © 2010 Roman Kozhan & Ventus Publishing ApS ISBN 978-87-7681-427-4 To my wife Nataly Download