Transcription of Introductory Econometrics for Finance
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Introductory Econometrics for Finance
Introductory Econometrics for Finance Chris Brooks The ISMA Centre, University of Reading published by the press syndicate of the university of cambridge The Pitt Building, Trumpington Street, Cambridge, United Kingdom cambridge university press The Edinburgh Building, Cambridge CB2 2RU, UK. 40 West 20th Street, New York, NY 10011-4211, USA. 477 Williamstown Road, Port Melbourne, VIC 3207, Australia Ruiz de Alarco n 13, 28014 Madrid, Spain Dock House, The Waterfront, Cape Town 8001, South Africa . C Chris Brooks 2002. This book is in copyright. Subject to statutory exception and to the provisions of relevant collective licensing agreements, no reproduction of any part may take place without the written permission of Cambridge University Press. First published 2002. Printed in the United Kingdom at the University Press, Cambridge Typefaces Swift pt. and Franklin Gothic System LATEX 2 [TB]. A catalogue record for this book is available from the British Library Library of Congress Cataloguing in Publication data Brooks, Chris Introductory Econometrics for Finance / Chris Brooks.
9.12 Threshold models and the dynamics of the FTSE 100 stock index and stock index futures market 567 9.13 A note on regime switching models and forecasting accuracy 571 9.14 Estimating threshold autoregressive models in RATS 571 10 Simulationmethods 577 10.1 Motivations 577 10.2 Monte Carlo simulations 578 10.3 Variance reduction techniques 580
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