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Econometric Modelling In Finance And Risk Management: An Overview

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Executive Summary

Significant theoretical, computational and empirical progress has been made over the past two decades in the use of modern time series techniques to analyse financial data that exhibit (possible) nonstationarity, structural breaks and long-range dependence, as well as in the study of univariate and multivariate risk modelling and management. The various models and methods used have been largely based on parametric, nonparametric and semiparametric nonlinear time series models for both continuous and discrete time series processes.

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