Contributions to Financial Econometrics: Theoretical and Practical Issues
September 2003, Wiley-Blackwell
2. Recent Theoretical Results for Time Series Models with GARCH Errors: W. K. Li, Shiqing Ling and Michael McAleer.
3. Bootstrapping Financial Time Series: Esther Ruiz and Lorenzo Pascual.
4. Measures of Fit for Rational Expectations Models: Tom Engsted.
5. Some Recent Developments in Futures Hedging: Donald Lien and Y. K. Tse.
6. Asset Pricing with Observable Stochastic Discount Factors: Peter Smith and Michael Wickens.
7. G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models: Sébastien Laurent and Jean-Philippe Peters.
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.
- Presents five state-of-the-art survey papers on time series econometrics.
Presents a modern financial econometrics software package.
Surveys recent developments in the field.
Discusses the theoretical properties of the GARCH family of models.
Will be of interest to both theoreticians and professionals.