Financial Econometrics Using Stata

 Financial Econometrics Using Stata
Financial Econometrics Using Stata

Simona Boffelli and Giovanni Urga

Financial Econometrics Using Stata is an essential reference for graduate students, researchers and practicioners who use Stata to perform intermediate or advanced methods. After discussing the characteristics of financial time series, the authorise provide introduction to ARMA models, univariate GARCH models, multivariate GARCH models, and application of those models to financial time series. The last two chapters cover risk management and contagion measures. After a rigourous but intuitive overview, the authoris illustrate each method by interpreting easily replicable Stata examples.

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