Skip navigation

Bookboon.com Download free eBooks and textbooks

Choose a category

Financial Econometrics

With Eviews

Financial Econometrics
3.8 (13 reviews)
ISBN: 978-87-7681-427-4
1 edition
Pages : 119
Price: Free

Download for FREE in 4 easy steps...

We are terribly sorry, but in order to download our books or watch our videos, you will need a browser that allows JavaScript.
After entering your email address, a confirmation email will be sent to your inbox. Please approve this email to receive our weekly eBook update. We will not share your personal information with any third party.

This is a Premium eBook - get it free for 30 days

You can also read this in Bookboon.com Premium

Summary

The aim of this textbook is to provide a step-by-step guide to financial econometrics using EViews 6.

300+ Business books exclusively in our Premium eReader

  • No adverts
  • Advanced features
  • Personal library
More about Premium

Buy this eBook

Buy now

Subscribe to all 800+ eBooks

Start free trial 30 day FREE trial

About the book

  1. Description
  2. Preface
  3. Content
  4. Embed

Description

The aim of this textbook is to provide a step-by-step guide to financial econometrics using EViews 6.0 statistical package. It contains brief overviews of econometric concepts, models and data analysis techniques followed by empirical examples of how they can be implemented in EViews. This book is written as a compendium for undergraduate and graduate students in economics and finance. This book may be used as a textbook companion for graduate level courses in time series analysis, empirical finance and financial econometrics.

Preface

The aim of this textbook is to provide a step-by-step guide to financial econometrics using EViews 6.0 statistical package. It contains brief overviews of econometric concepts, models and data analysis techniques followed by empirical examples of how they can be implemented in EViews.

This book is written as a compendium for undergraduate and graduate students in economics and finance. It also can serve as a guide for researchers and practitioners who desire to use EViews for analysing financial data. This book may be used as a textbook companion for graduate level courses in time series analysis, empirical finance and financial econometrics.

It is assumed that the reader has a basic background in probability theory and mathematical statistics.

The material covered in the book includes concepts of linear regression, univariate and multivariate time series modelling and their implementation in EViews. Chapter 1 briefly introduces commands, structure and programming language of the EViews package. Chapter 2 provides an overview of the regression analysis and its inference. Chapters 3 to 5 cover some topics of univariate time series analysis including linear models, GARCH models of volatility, unit root tests. Chapter 6 introduces modelling of multivariate time series.

Content

Preface

1. Introduction to EViews 6.0
1.1 Workfiles in EViews
1.2 Objects
1.3 Eviews Functions
1.4 Programming in Eviews

2. Regression Model
2.1 Introduction
2.2 Linear Regression Model
2.3 Nonlinear Regression

3. Univariate Time Series: Linear Models
3.1 Introduction
3.2 Stationarity and Autocorrelations
3.3 ARMA processes

4. Stationarity and Unit Roots Tests
4.1 Introduction
4.2 Unit Roots tests
4.3 Stationarity tests
4.4 Example: Purchasing Power Parity

5. Univariate Time Series: Volatility Models
5.1 Introduction
5.2 The ARCH Model
5.3 The GARCH Model
5.4 GARCH model estimation
5.5 GARCH Model Extensions

6. Multivariate Time Series Analysis
6.1 Vector Autoregression Model
6.2 Cointegration

Embed

Size
Choose color
Implementation code. Copy into your own page
Embed Frame - Terms of Use

The embed frame is free to use for private persons, universities and schools. It is not allowed to be used by any company for commercial purposes unless it is for media coverage. You may not modify, build upon, or block any portion or functionality of the embed frame, including but not limited to links back to the bookboon.com website.

The Embed frame may not be used as part of a commercial business offering. The embed frame is intended for private people who want to share eBooks on their website or blog, professors or teaching professionals who want to make an eBook available directly on their page, and media, journalists or bloggers who wants to discuss a given eBook

If you are in doubt about whether you can implement the embed frame, you are welcome to contact Thomas Buus Madsen on tbm@bookboon.com and seek permission.