Financial Econometrics With Eviews

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.