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Full Description
Financial Econometrics Using Stata is an essential reference for graduate students, researchers, and practitioners who use Stata to perform intermediate or advanced methods. After discussing the characteristics of financial time series, the authors provide introductions to ARMA models, univariate GARCH models, multivariate GARCH models, and applications of these models to financial time series. The last two chapters cover risk management and contagion measures. After a rigorous but intuitive overview, the authors illustrate each method by interpreting easily replicable Stata examples.
Contents
Introduction to financial time series. ARMA models. Modeling volatilities, ARCH models, and GARCH models. Multivariate GARCH models. Risk management. Contagion analysis.
