The first volume of this comprehensive two-volume set delves into advanced topics in econometrics, offering in-depth analysis and methodologies for researchers and students. It aims to enhance understanding of complex economic models and statistical techniques, making it a valuable resource for those looking to deepen their knowledge in the field.
Designed for students with a foundational understanding of econometrics and statistics, this textbook delves into qualitative econometric models. It provides a comprehensive introduction to the concepts and methodologies essential for analyzing qualitative data, emphasizing their application in economic research.
ARCH models provide an appropriate framework for studying financial and monetary problems. This book surveys recent work with ARCH models from the perspective of statistical theory, financial models, and applications. Translated from the French edition, new sections on stochastic volatility and time deformation have been added. The book will be suitable for readers with a background in econometrics and ARMA modeling.