Introduction; Basic Probability Theory and Markov Chains; Estimation Techniques; Non-Parametric Method of Estimation; Unit Root, Cointegration and Related Issues; VAR Modeling; Time Varying Volatility Models; State-Space Models (I); State-Space Models (II); Discrete Time Real Asset Valuation Model; Discrete Time Model of Interest Rate; Global Bubbles in Stock Markets and Linkages; Forward FX Market and the Risk Premium; Equity Risk Premia from Derivative Prices
Summary
This book offers advanced modelling techniques to analyse financial and economic systems, emphasizing model implementation using commonly used software systems. It shows readers how to explore complex structures without getting inundated with the underlying mathematics
