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Granularity Theory with Applications to Finance and Insurance
This book provides the first comprehensive overview of the granularity theory and its usefulness for risk analysis, statistical estimation, and derivative pricing.
Time Series and Dynamic Models
In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in synthesising in an organised and integrated way a broad and diverse literature. While the book does not assume a deep knowledge of economics, one of its most attractive features is the close attention it pays to economic models and phenomena throughout. The coverage represents a major reference tool for graduate students, researchers and applied economists. The book is divided into four sections. Section one gives a detailed treatment of classical seasonal adjustment or smoothing methods. Section two provides a thorough coverage of various mathematical tools. Section three is the heart of the book, and is devoted to a range of important topics including causality, exogeneity shocks, multipliers, cointegration and fractionally integrated models. The final section describes the main contribution of filtering and smoothing theory to time series econometric problems.
Contagion Phenomena with Applications in Finance
Much research into financial contagion and systematic risks has been motivated by the finding that cross-market correlations (resp. coexceedances) between asset returns increase significantly during crisis periods. Is this increase due to an exogenous shock common to all markets (interdependence) or due to certain types of transmission of shocks between markets (contagion)? Darolles and Gourieroux explain that an attempt to convey contagion and causality in a static framework can be flawed due to identification problems; they provide a more precise definition of the notion of shock to strengthen the solution within a dynamic framework. This book covers the standard practice for defining shoc...
Econometrics of Qualitative Dependent Variables
This textbook introduces students progressively to various aspects of qualitative models and assumes a knowledge of basic principles of statistics and econometrics. Inferring qualitative characteristics of data on socioeconomic class, education, employment status, and the like - given their discrete nature - requires an entirely different set of tools from those applied to purely quantitative data. Written in accessible language and offering cogent examples, students are given valuable means to gauge real-world economic phenomena. After the introduction, early chapters present models with endogenous qualitative variables, examining dichotomous models, model specification, estimation methods, descriptive usage, and qualitative panel data. Professor Gourieroux also looks at Tobit models, in which the exogenous variable is sometimes qualitative and sometimes quantitative, and changing-regime models, in which the dependent variable is qualitative but expressed in quantitative terms. The final two chapters describe models which explain variables assumed by discrete or continuous positive variables.
ARCH Models and Financial Applications
The classical ARMA models have limitations when applied to the field of financial and monetary economics. Financial time series present nonlinear dynamic characteristics and the ARCH models offer a more adaptive framework for this type of problem. This book surveys the recent work in this area from the perspective of statistical theory, financial models, and applications and will be of interest to theorists and practitioners. From the view point of statistical theory, ARCH models may be considered as specific nonlinear time series models which allow for an exhaustive study of the underlying dynamics. It is possible to reexamine a number of classical questions such as the random walk hypothes...
Statistics and Econometric Models: Volume 1, General Concepts, Estimation, Prediction and Algorithms
This two-volume work aims to present as completely as possible the methods of statistical inference with special reference to their economic applications. It is a well-integrated textbook presenting a wide diversity of models in a coherent and unified framework. The reader will find a description not only of the classical concepts and results of mathematical statistics, but also of concepts and methods recently developed for the specific needs of econometrics. Although the two volumes do not demand a high level of mathematical knowledge, they do draw on linear algebra and probability theory. The breadth of approaches and the extensive coverage of this two-volume work provide for a thorough and entirely self-contained course in modern economics. Volume 1 provides an introduction to general concepts and methods in statistics and econometrics, and goes on to cover estimation and prediction. Volume 2 focuses on testing, confidence regions, model selection, and asymptotic theory.
The Econometrics of Individual Risk
The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be just as devastating as macroevents such as share-price fluctuations. A comprehensive introduction, The Econometrics of Individual Risk is the first book to provide a complete econometric methodology for quantifying and managing this underappreciated but important variety of risk. The book presents a course in the econometric theory of individual risk illustrated by empirical examples. And, unlike other texts, it is focused entirely on solving t...
Financial Econometrics
Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a fast expansion of financial markets and an increasing variety and complexity of financial products. This has fueled the demand for people with advanced econometrics skills. For professionals and advanced graduate students pursuing greater expertise in econometric modeling, this is a superb guide to the field's frontier. With the goal of providing information that is absolutely up-to-date—essentia...
Time Series and Dynamic Models
In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in synthesising in an organised and integrated way a broad and diverse literature. While the book does not assume a deep knowledge of economics, one of its most attractive features is the close attention it pays to economic models and phenomena throughout. The coverage represents a major reference tool for graduate students, researchers and applied economists. The book is divided into four sections. Section one gives a detailed treatment of classical seasonal adjustment or smoothing methods. Section two provides a thorough coverage of various mathematical tools. Section three is the heart of the book, and is devoted to a range of important topics including causality, exogeneity shocks, multipliers, cointegration and fractionally integrated models. The final section describes the main contribution of filtering and smoothing theory to time series econometric problems.
