Roman Kozhan Financial Econometrics With Eviews Download free books at Download free eBooks at bookboon.com 2 Roman Kozhan Financial Econometrics Download free eBooks at bookboon.com 3 Financial Econometrics – with EViews © 2010 Roman Kozhan & Ventus Publishing ApS ISBN 978-87-7681-427-4 To my wife Nataly Download free eBooks at bookboon.com Click on the ad to read more Financial Econometrics 4 Contents Contents Preface 1 Introduction to EViews 6.0 2 Regression Model 3 Univariate Time Series: Linear Models 6 7 8 10 18 22 34 34 34 52 54 54 54 59 www.sylvania.com We do not reinvent the wheel we reinvent light. Fascinating lighting offers an infinite spectrum of possibilities: Innovative technologies and new markets provide both opportunities and challenges. An environment in which your expertise is in high demand. Enjoy the supportive working atmosphere within our global group and benefit from international career paths. Implement sustainable ideas in close cooperation with other specialists and contribute to influencing our future. Come and join us in reinventing light every day. Light is OSRAM Download free eBooks at bookboon.com Click on the ad to read more Financial Econometrics 5 Contents 4 Stationarity and Unit Roots Tests 5 Univariate Time Series: Volatility Models 6 Multivariate Time Series Analysis Bibliography 69 69 69 74 75 80 80 80 83 86 87 95 95 103 117 360° thinking . © Deloitte & Touche LLP and affiliated entities. Discover the truth at www.deloitte.ca/careers Download free eBooks at bookboon.com Financial Econometrics 6 Preface 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 stu- dents 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, uni- variate and multivariate time series modelling and their implementation i n 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.