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Financial Econometrics Using Stata
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Table of Contents

Introduction to financial time series

The object of interest

Approaching the dataset

Normality

Stationarity

Autocorrelation

Heteroskedasticity

Linear time series

Model selection

How to import data

ARMA models Autoregressive (AR) processes Moving-average (MA) processes Autoregressive moving-average (ARMA) processes Application of ARMA models Modeling volatilities, ARCH models, and GARCH models Introduction ARCH models ARCH(p) GARCH models Asymmetric GARCH models Alternative GARCH models Multivariate GARCH models Introduction Multivariate GARCH Direct generalizations of the univariate GARCH model of Bollerslev Nonlinear combination of univariate GARCH-common features Final remarks Risk management Introduction Loss Risk measures VaR Backtesting procedures Contagion analysis Introduction Contagion measurement

About the Author

Simona Boffelli, PhD, is a quantitative analyst at Fineco Bank in Milan, part of the Unicredit Group. She is a researcher associate to the Department of Management, Economics and Quantitative Methods of Bergamo University in Italy and to the Centre for Econometric Analysis of Cass Business School in London. Giovanni Urga, PhD, is a professor of finance and econometrics and the director of the Centre for Econometric Analysis at Cass Business School in London, and is a professor of econometrics at the Department of Management, Economics and Quantitative Methods of Bergamo University in Italy.

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