Econometric analysis of financial markets
著者
書誌事項
Econometric analysis of financial markets
（Studies in empirical economics）
Physica-Verlag, c1994
- : gw
- : us
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注記
Includes bibliographical references
内容説明・目次
内容説明
This collection of papers represents the state of the art in the application of recent econometric methods to the analysis of financial markets. From a methodological point of view the main emphasis is on cointegration analysis and ARCH modelling. In cointegration analysis the links between long-run components of time series are studied. The methods used can be applied to the determination of equilibrium relationships between the variables, whereas ARCH models are concerned with the measurement and analysis of changing variances in time series. These econometric models have been the most significant innovations for the empirical analysis of financial time series in recent years. Other econometric methods and models applied in the papers include factor analysis, vector autoregressions, and Markov-switching models. The papers cover a wide range of issues and theories in financial and international economics: the term structure of interest rates, exchange-rate determination, target-zone dynamics, stock-market efficiency, and option pricing.
目次
Some Pitfalls in Using Empirical Autocorrelations to Test for Zero Correlation among Common Stock Returns.- Temporal Aggregation of Time-Series.- On Long- and Short-Run Purchasing Power Parity.- Cointegration and the Monetary Model of the Exchange Rate.- Does Cointegration Matter in the Empirical Analysis of the CAPM?.- Constructing an Empirical Model for Swiss Franc Exchange Rates and Interest Rate Differentials.- Frequency Domain Analysis of Euromarket Interest Rates.- Structuring Volatile Swiss Interest Rates: Some Evidence on the Present Value Model and a VAR-VARCH Approach.- The Expectation Hypothesis and Interest Rate Volatility on the Euromarket: Some Empirical Results.- An Investigation of the Effect of Funding on the Slope of the Yield Curve.- Stylized Facts, Realignments and Investment Strategies in the EMS.- Risk and Return in January: Some UK Evidence.- Markov-Switching Models for Exchange-Rate Dynamics and the Pricing of Foreign-Currency Options.
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