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Book Cover
Book
Author Bhar, Ramaprasad.

Title Empirical techniques in finance / Ramaprasad Bhar, Shigeyuki Hamori
Published Berlin ; New York : Springer Heidelberg, [2005]
©2005

Copies

Location Call no. Vol. Availability
 W'PONDS  330.015195 Bha/Eti  AVAILABLE
 MELB  330.015195 Bha/Eti  AVAILABLE
Description xii, 241 pages : illustrations ; 25 cm
Series Springer finance
Springer finance.
Contents 1. Introduction -- 2. Basic probability theory and Markov chains -- 3. Estimation techniques -- 4. Non-parametric method of estimation -- 5. Unit root, cointegration and related issues -- 6. VAR modeling -- 7. Time varying volatility models -- 8. State-space models (I) -- 9. State-space models (II) -- 10. Discrete time real asset valuation model -- 11. Discrete time model of interest rate -- 12. Global bubbles in stock markets and linkages -- 13. Forward FX market and the risk premium -- 14. Equity risk premia from derivative prices
Bibliography Includes bibliographical references and index
Subject Finance -- Mathematical models.
Investments -- Mathematical models.
Author Hamori, Shigeyuki, 1959-
LC no. 2005924539
ISBN 3540251235 (alk. paper)