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Essentials of Time Series for Financial Applications serves as an agile reference for upper level students and practitioners who desire a formal, easy-to-follow introduction to the most important time series methods applied in financial applications (pricing, asset management, quant strategies, and risk management). Real-life data and examples developed with EViews illustrate the links between the formal apparatus and the applications. The examples either directly exploit the tools that EViews makes available or use programs that by employing EViews implement specific topics or techniques. The book balances a formal framework with as few proofs as possible against many examples that support its central ideas. Boxes are used throughout to remind readers of technical aspects and definitions and to present examples in a compact fashion, with full details (workout files) available in an on-line appendix. The more advanced chapters provide discussion sections that refer to more advanced textbooks or detailed proofs. Provides practical, hands-on examples in time-series econometrics Presents a more application-oriented, less technical book on financial econometrics Offers rigorous coverage, including technical aspects and references for the proofs, despite being an introduction Features examples worked out in EViews (9 or higher)

Time-series analysis. --- Econometrics. --- Economics, Mathematical --- Statistics --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Mathematical statistics --- Probabilities

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Zonder onderwerpscode: economie

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Researchers, policymakers and commentators have long debated the patterns through which adverse shocks in a few markets may quickly spread to a range of apparently disconnected financial markets causing widespread losses and turmoil. This book uses modern linear and non-linear econometric methods to characterize how shocks to the yield of risky fixed income securities, such as sub-prime asset-backed or low-credit rating sovereign bonds, are transmitted to the yields in other markets. These include equity and corporate bond markets as well as relatively risk-free fixed income securities, such as highly rated asset-backed securities and sovereign bonds from core Eurozone countries. The authors analyse and compare the results from linear and non-linear models to identify and assess four distinct contagion channels characterizing both US and European financial markets. These include the correlated information, risk premium, flight-to-liquidity, and flight-to quality channels. The results of this study support the theory that both investors and policy-makers ought to pay special attention to liquidity and commonalities in the perceptions of the probabilities of default, as channels through which financial shocks propagate.

Financial crises --- Markov processes. --- Markov processes --- Economic Theory --- Business & Economics --- Analysis, Markov --- Chains, Markov --- Markoff processes --- Markov analysis --- Markov chains --- Markov models --- Models, Markov --- Processes, Markov --- Business. --- Business enterprises --- Finance. --- Corporations --- Investment banking. --- Securities. --- Macroeconomics. --- Business and Management. --- Business Finance. --- Finance, general. --- Investments and Securities. --- Corporate Finance. --- Macroeconomics/Monetary Economics//Financial Economics. --- Economics --- Blue sky laws --- Capitalization (Finance) --- Investment securities --- Portfolio --- Scrip --- Securities --- Securities law --- Underwriting --- Investments --- Investment banking --- Banks and banking, Investment --- Investment banks --- Financial institutions --- Business finance --- Corporate finance --- Corporate financial management --- Corporation finance --- Financial analysis of corporations --- Financial management, Corporate --- Financial management of corporations --- Financial planning of corporations --- Managerial finance --- Going public (Securities) --- Funding --- Funds --- Currency question --- Business financial management --- Financial analysis of business enterprises --- Financial management, Business --- Financial management of business enterprises --- Financial planning of business enterprises --- Trade --- Management --- Commerce --- Industrial management --- Law and legislation --- Business enterprises-Finance. --- Corporations-Finance. --- Business enterprises—Finance. --- Corporations—Finance.