Financial Econometrics: Problems, Models, and Methods.

Book Description

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--essential in today's rapidly evolving financial environment--Gourieroux and Jasiak focus on methods related to foregoing research and those modeling techniques that seem relevant to future advances. They present a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies. Practitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors.

This authoritative, state-of-the-art reference text is ideal for upper-level graduate students, researchers, and professionals seeking to update their skills and gain greater facility in using econometric models. All will benefit from the emphasis on practical aspects of financial modeling and statistical inference. Doctoral candidates will appreciate the inclusion of detailed mathematical derivations of the deeper results as well as the more advanced problems concerning high-frequency data and risk control. By establishing a link between practical questions and the answers provided by financial and statistical theory, the book also addresses the needs of applied researchers employed by financial institutions.

Customer Reviews:

Sloppy.......2003-06-14

This book is not completely useless. It does tell you something about models that are used in finance. But the title misleads: there is a lot of description of models, but not much on estimation and inference procedures.

There is a general air of editorial sloppiness in a combination of factual errors, grammatical slips, awkward language and inscrutable logic. For example, on p.36 a process is defined to be I(1) iff its first difference is a weak white noise. And on p.172 there is this: "It is likely the asset prices to [sic] follow a nonstationary process, whereas the dividends and the excess gains are stationary processes." Huh? In the discussion of the consumption-based CAPM money and a price level are inexplicably included. Things of this kind recur through out.

A great introduction to financial econometrics.......2002-10-25

The book introduces a number of topics that usually can be only found in papers. For example, the treatment of the econometrics of derivatives, although not very extensive, is excellent. In this regard the book is vastly superior to Cambell and Lo's book. Overall, the book covers a wealth of topics in very accesible and concise manner. Probably, the best introduction to modern financial econometrics for practitioners.

Victor, try Google.......2002-04-15

(Forget the stars; I'm just posting the Table of Contents)

Table of Contents

Preface vii
1. Introduction 1
2. Univariate Linear Models: The AR(1) process and Its Extensions 17
3. Multivariate Linear Models: VARMA Representation 53
4. Simultaneity, Recursivty, and Casuality Analysis 81
5. Persistence and Cointegration 105
6. Conditional Heteroscedasticity: Nonlinear Autoaggressive Models, ARCH Models, Stochastic Volatility Models 117
7. Expection and Present Value Models 151
8. Intertemporal Behavior and the Method of Moments 173
9. Dynamic Factor Models 195
10. Dynamic Qualitative Proceses 219
11. Diffusion Models 241
12. Estimation of Diffusion Models 285
13. Econometrics of Derivatives 317
14. Dynamic Models for High-Freguency data 351
15. Market Indexes 247
16. Management of Extreme Risks 427
References 451
Index 477

Book Description

An essential overview of post-deregulation market operations in electrical power systems

Until recently the U.S. electricity industry was dominated by vertically integrated utilities. It is now evolving into a distributive and competitive market driven by market forces and increased competition. With electricity amounting to a $200 billion per year market in the United States, the implications of this restructuring will naturally affect the rest of the world.

Why is restructuring necessary? What are the components of restructuring? How is the new structure different from the old monopoly? How are the participants strategizing their options to maximize their revenues? What are the market risks and how are they evaluated? How are interchange transactions analyzed and approved? Starting with a background sketch of the industry, this hands-on reference provides insights into the new trends in power systems operation and control, and highlights advanced issues in the field.

Written for both technical and nontechnical professionals involved in power engineering, finance, and marketing, this must-have resource discusses:

Market structure and operation of electric power systems
Load and price forecasting and arbitrage
Price-based unit commitment and security constrained unit commitment
Market power analysis and game theory applications
Ancillary services auction market design
Transmission pricing and congestion

Using real-world case studies, this timely survey offers engineers, consultants, researchers, financial managers, university professors and students, and other professionals in the industry a comprehensive review of electricity restructuring and how its radical effects will shape the market.

Download Description

This book deals with the implications of electric power deregulation that is causing the restructuring of the largest commodity market in the United States. It presents background information on deregulation, provides insight into new trends in power systems operation and control, and highlights advanced topics in electricity markets.

Customer Reviews:

bit too technical for me........2007-03-28

Gets into concepts and theories that you need to have some sort of power industry background to understand. At the time I was looking for more intro level and this was a bit challenging.

Decided to keep it.......2003-01-13

Somewhat similar to Wood and Wollenberg. Not nearly as detailed or rigorous as the other, but more "modern", i.e., market-oriented. 200 pages on using neural nets in price forecasting (probably useful if you believe in nets). Interesting for me were sections on ancillaries, comittment/dispatch and congestion management. For those, authors provide a good introduction: mostly narrative with some formulas to show exactly what they mean.

I loved it.......2002-06-01

This was one of the best books I read on the subject of power market.

Book Description

This is one of the first public documents to present accurate, reliable data describing the forest sector of Russia, including data revealing behavior within the forest sector at a regional level, and possibly the only one to include analyses that look far beyond the present to provide a glimpse of what the future might hold. Following an introduction, it reviews the forest sector in Russia, including the deciduous resource and prices and costs and covers regional diversity in forest resources and utilization in European Russia, West Siberia, East Siberia, and the Far East. It then deals with the trade patterns of Russia and former Soviet Union republics. The final chapters explore analytical methods and scenarios focusing on accessibility, capital requirements, and product demand and examine policy implications and future avenues of research. The book includes bibliographic references, a glossary, and an appendix with extensive statistical data.

Book Description

Basic Medical Endocrinology, Third Edition provides up-to-date coverage of rapidly unfolding advances in the understanding of hormones involved in regulating most aspects of bodily functions. The discussion focuses on molecular and cellular aspects of hormone production and action firmly rooted in the context of integrative physiology. Topics are approached from the perspective of a physiologist with four decades of teaching experience.

This book is richly illustrated with both descriptive schematic diagrams and laboratory findings obtained in clinical studies. Each of the thirteen in-depth chapters starts with an 'Overview' of the topic and ends with a 'Suggested Reading' list.

* Single authorship provides continuity and consistency between chapters
* Richly illustrated with over 200 illustrations
* IThirteen in-depth chapters incorporating the latest insights gleaned from rapidly expanding genetic studies of humans and rodents
* Author has taught subject for over 40 years

Customer Reviews:

Beautiful Pictures without Insights.......2004-06-08

The Wildlife Photographer of the Year is an annual publication of the BBC. It includes the winning pictures from the BG Wildlife Photographer of the Year Competition, which is sponsored by the Natural History Museum (of London), BBC Wildlife Magazine and BG Group.

Thousands of photographs are submitted by wildlife photographers from all over the world, from which a panel of distinguished judges selects winners, runners-up and commended pictures, as well as one overall winner. The categories include various classes like animal behavior, composition and form, and animal portraits. Those familiar with nature photographers will recognize many of the competitors' names, like Thomas Mangelsen, Arthur Morris, Patricio Robles Gil and Norbert Wu.

Each photographer includes a short comment about the circumstances of the picture's capture. Photographer-readers will like the fact that technical data is provided for each photo. Almost every one of the pictures is quite beautiful and some are quite astounding. Although I was quite familiar with Joe McDonald's picture of a lion killing a buffalo, I still shuddered when I saw the lion's death grip and the terror in the buffalo's eyes. Andy Rouse's picture of a roe deer buck peering at us from a field of chest high red flowers is lovely.

Each of the pictures in the volume can stand by itself as a worthy photo. My problem is that the pictures, by the nature of the contest, don't hang together as a book. Photographs in a book on a single subject or by a single photographer have a synergistic effect. We learn more about the animal or the photographer's vision than any one picture can convey. That is totally lacking in this book, with the exception of the short portfolio by Vincent Munier that won the award for photographers aged 26 years or under.

People who love wildlife pictures will not be disappointed by this book. On the other hand, they may want to consider subscribing to a magazine like "Nature's Best", published quarterly by the Nature's Best Foundation. There is a contest issue with pictures by many of the same photographers as enter the Wildlife Photographer of the Year competition, AND the three other issues contain extensive portfolios by a individual photographers, usually on a single subject.

Customer Reviews:

Great Book.......2007-06-08

With honest to goodness, (up?)down to earth, interviews of people that have really earned their place in the book. A Fantastic read.

Voices from the Summit.......2001-02-26

Description: The World's Great Mountaineers on the Future of Climbing, celebrating 25 years of the Banff Film Festival. Size is 251 pages w/ contributor bio and many mountain photos, measures 9" by 12", softbound, published by National Geographic in association with The Banff Centre for Mountain Culture. From the back cover: "An extraordinary tribute to the art of mountaineering with many of the worlds greatest climbers, a book both unique in scope and unprecedented in authority. Looking back at the climbers milestone's and forward to new challenges, these founding fathers, contemporary superstars, and their chroniclers explore every aspect of the sport and offer thoughtful, personal, and often provocative vision of what mountaineering truly means to the men and women who test their spirits and hazard their lives in the risky but rewarding world of high adventure."

Contributors include Reihold Messner, Ed Viesturs, Wade Davis, Sir Chris Bonington, Catherine Destivelle, David Breashears, Greg Childs, Leo Houlding, Sir Edmund Hillary, Lynn Hill, Yvon Chouinard, Jeff Lowe, Todd Skinner, Kitty Calhoun, Will Gadd, Thomas Hornbein, Royal Robbins and 15 others weighing in on 11 topics crucial to the future of mountaineering, from Himalayan climbing and the ethics of adventuring to ice climbing and rock climbing, plus a history of the Banff Mountain Film Festival.

Personal opinion: Interesting read with the individual bios and mountaineering history, great information on philosophical approach to the climbers world. Easy to read sections without losing focus, each climber stands alone, can move around rather front to back. A good reinforcement to belief, you can do anything you want.

Average customer rating:

the world's great mountains by the world's great mountaineer

Wonderful photography

World Mountaineering : The World's Great Mountains by the World's Great Mountaineers
Audrey Salkeld , and Sir Chris Bonington
Manufacturer: Bulfinch
ProductGroup: Book
Binding: Hardcover

General | Mountaineering | Sports | Subjects | Books
Mountain Climbing | Mountaineering | Sports | Subjects | Books
General | Sports | Subjects | Books
Similar Items:

Himalayan Quest: Ed Viesturs on the 8,000-Meter Giants

No Shortcuts to the Top: Climbing the World's 14 Highest Peaks

ASIN: 0821225022

Amazon.com

World Mountaineering reaches a new summit. Organized by continent, this splendid, large-format climbing guide features 52 of the world's most spectacular mountains and their climbs, stepping far beyond the mere map-and-route delineations that define many climbing guidebooks. Even if the topographical descriptions and various routes snaking across the stunningly clear photographs were all that were here, that might seem enough. But each mountain's entry also includes an aerial map, a timeline of climbing history, and practicalities such as access, red tape, the best times to climb, and suggested maps and guidebooks to bring along. Essays--written by top mountaineers, such as Ed Webster on Mount Robson, or Hilary Boardman on the Carstensz Pyramid--recount personal experiences with each mountain. Suddenly the alpine world is above, shimmering and stirring, crisp and clear. The only stumble is that only five of these mountaineer essayists are women.

Route descriptions concentrate less on the step-by-step details and more on the legacy of those who have gone before, their equipment, their route's most difficult and salient features, and the official climb grading. Ideas for future climbs on each mountain suggest new routes on which to test and hone skills.

Sure, there are mountains here that one would expect--Everest, McKinley, K2, Kilimanjaro--but, as Chris Bonington writes in the foreword, "We must remember that there are alternatives to Everest.... There is a wealth of superb climbing to be had around the world ... in places where there are few, if any, other people and still no tell-tale signs of man." Bonington gives cautions about the crowding and development of popular mountains; editor Audrey Salkeld introduces the book with a history of climbing and thoughts on the future of mountaineering. In all, World Mountaineering reveals the dazzling array of climbing possibilities and acts as much as an inspiration as a dependable guide to the top. --Byron Ricks

Customer Reviews:

the world's great mountains by the world's great mountaineer.......2000-01-26

Very good book on a variety of tempting targets that will take any climber at least one lifetime. The most recent information on routes, accesibility etc. makes it very valuable. World famous climbers' stories about their climbs is a eal extra. Five stars!

Wonderful photography.......1998-10-20

This will be an absorbing read if, like me, Jon Krauker's "Into Thin Air" awakened the nascent armchair mountaineer in you. Interleaving some great photography with brief accounts of various climbs, and summaries of the main routes on mountains across the world, it's well worth a look even if (perhaps, especially if!) the thought of actually climbing a major peak isn't your idea of a fun way to risk your life.

Average customer rating:

This retraces footstpes into the baleful and malevolent E.A

The First Ascent of Mount Kenya
Halford John Mackinder
Manufacturer: Ohio Univ Pr
ProductGroup: Book
Binding: Hardcover

Kenya | Africa | History | Subjects | Books

General | World | History | Subjects | Books

Mountain Climbing | Mountaineering | Sports | Subjects | Books

General | Sports | Subjects | Books
ASIN: 0821409875

Customer Reviews:

This retraces footstpes into the baleful and malevolent E.A.......1997-10-31

For those of you serching for the true understandings of Kirinyaga this book is a must to read , very few books retrace the fotsteps of early explorers such as H.J.Mackinder

Mountaineer: Thirty Years of Climbing on the World's Great Peaks

Average customer rating:

A history of mountaineering as made and lived by a master.

Mountaineer: Thirty Years of Climbing on the World's Great Peaks
Chris Bonington
Manufacturer: Sierra Club Books for Children
ProductGroup: Book
Binding: Paperback

General | Biographies & Memoirs | Subjects | Books

General | Mountaineering | Sports | Subjects | Books

Mountain Climbing | Mountaineering | Sports | Subjects | Books

General | Sports | Subjects | Books
ASIN: 0871569051

Amazon.com

This is one of those rare birds, the book that brings it all together into one bound work of quality. The pictures are what strike you straight off -- color shots of impossible climbs up unspeakable mountains in China, Europe and Nepal. Then you read the text, and the adventures unfold in easy, engaging stories. Bonington's mountaineering expertise is impressive, and his book is a gem.

Customer Reviews:

A history of mountaineering as made and lived by a master........1998-10-17

Chris Bonington has climbed through and indeed contributed to forge the transition between postwar mountaineering and the present high-tech over-achieving state of this art. Mankind is in debt for the many milestones in the history of mountain climbing that Bonington has set. Excellent photographs ranging in time from his beginnings in bouldering to the great Himalayan days.

Book Description

This book focuses specifically and in-depth on the legal and business issues that NPs face, and provides state by state coverage of Nurse Practitioner's scope of practice and state regulations.

Customer Reviews:

Nurse Practitioner's Bus Practice and Legal Guide.......2007-02-07

Excellent condition of book, speedy delivery, and a fantastic content within the book.

Must read, for Nurse Practitioners & students.......2005-10-21

Great book which provides definitions and state-by-state breakdowns of important concepts, such as collaboration, prescriptive authority and SCAs.

2nd edition.......2004-01-28

I found Carolyn Buppert's second edition of Business Practice and Legal Guide to be very helpful. The additional chapters are useful for my practice and for research on a state wide level. I would recommend this book to nurse practitioners and students of the profession. It is proving to be a valuable resource for improving NP practice in Alabama. Be sure to get the second edition (2003/2004)as the first was published in 1995.

Information is outdated.......2004-01-21

As a grad student interested in starting my own practice upon graduation, I found this book to be useless. It has been reprinted by another publishing company and its original copyright date is 1999. Between then and now - 2004 - a lot of things have changed. Therefore, I would recommend that anyone who requires current information should look elsewhere. This is a very expensive book as is not helpful at all!!!

Excellent resource for any nurse practitioner.......2002-11-09

I had the pleasure of reading this book while finishing my last year in nurse practitioner school.

Ms. Buppert is a master in defining how to negotiate business contracts.

I met the author at a nurse practioner conference in Nashville Tn and she was very down to earth and truly magnificent in her knowledge of laws affecting nurse practioners.

I highly recommend this book.

Book Description

Discofunkalicious

Both eclipsed and influenced by television, American print ads of the 1970s departed from the bold, graphic forms and subtle messages that were typical of their sixties counterparts. More literal, more in-your-face, 70s ads sought to capture the attention of a public accustomed to blaring, to-the-point TV commercials (even VW ads, known for their witty, ironic statements and minimalist designs, lost some of their punch in the 1970s). All was not lost, though; as ads are a sign of the times, racial and ecological awareness crept into everything from cigarette to car advertisements, reminding Americans that everyday products were hip to the modern age. In an attempt to discover how best to communicate with a mass audience, marketing specialists studied focus groups with furious determination, thus producing such dumbed-down gems as "sisters are different from brothers," the slogan used for an African-American hair product. By the end of the decade, however, print ads had begun to recoup, gaining in originality and creativity as they focused on target audiences through carefully chosen placement in smaller publications. A fascinating study of mass culture dissemination in a post-hippie, television-obsessed nation, this weighty volume delivers an exhaustive and nostalgic overview of 70s advertising.

Customer Reviews:

All American Ads of the 70s.......2005-08-09

Una recopilacion unica y fascinante, se puede recorrer la decada del '70 revisando las Publicidades que contiene esta obra. Infaltable para personas que trabajan en diseño, arquitetura, marketing y creadores en general.... no lo duden una obra maestra.Martin de Buenos Aires Argentina.

WARNING.......2005-01-06

This book has porn, so if you're interested in buying this, do what I did and tear out those pictures so that your kids don't see them. Otherwise enjoyable.

Too recent to be truly memorable........2004-07-10

All-American Ads of the Seventies adds another 702 pages to the 3418 pages in the first four books and only the Ads of the Twenties remains to be published. This latest book is really the weakest of the set though. As editor Jim Heimann explains in his intro, the Seventies print media lacked creative sparkle because television had captured most ad dollars. He also mentions the important point that in the Sixties ad art directors copied a lot of the really great creative stuff shown in the editorial pages of magazines and into the Seventies so much of this input had become everyday. Although he doesn't mention it I think another reason so many of these ads look bland is because they are just not old enough, they have not quite gained a nostalgic or curiosity value.

Still there are some fascinating pages to enjoy, I liked the chapter on Consumer Products with ads for Sony Betamax, Electrophonic turntables, Advent VideoBeam television, Pioneer tape decks, Polaroid Sonar camera, Honeywell slide projector and an IBM Electronic 75 typewriter. All gone to that electronic dustbin in the sky. I thought the classiest ads were in the Business & Industry chapter, some really creative photography and design.

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