Economic and Financial Modelling with EViews (eBook)

Abdulkader Aljandali is Senior Lecturer at Coventry University in London. He is currently leading the Stochastic Finance Module taught as part of the Global Financial Trading MSc. His previously published work includes Exchange Rate Volatility in Emerging Economies, Quantitative Analysis and IBM® SPSS® Statistics, and Multivariate Methods and Forecasting with IBM® SPSS® Statistics. Dr. Aljandali is an established member of the British Accounting and Finance Association and the Higher Education Academy. Motasam Tatahi, PhD, is a specialist in the areas of Macroeconomics, Financial Economics and Financial Econometrics at the European Business School, Regent’s University London, where he serves as Principal Lecturer and Dissertation Coordinator for the MSc in Global Banking and Finance at The European Business School-London. He has covered such modules as econometrics for PhD students, advanced macroeconomics at SOAS, and international trade at UCL-University of London. He is author of Privatisation Performance in Major European Countries since 1980 (Palgrave Macmillan) and articles in several international economics journals.

I Introduction  2 Importing Data Into Eviews 2.1 Reading IBM SPSS date variables 2.2 Saving and opening an EViews datafile 3 Regression Models          3.1 Eviews regression3.2 Saving the regression equation 3.3 Editing and saving regression graphics 4 Univariate Time Series: Linear Models          4.1 Stationarity and Autocorrelations4.2 ARIMA modelling in EViews 4.3. Testing for stationarity 4.4 Applying the ARIMA modelling process to the STOCK variable 5 Stationarity and Unit Root Tests          5.1 Unit root tests5.2 Stationarity tests5.3 Examples6 Univariate Time Series: Volatility Models 6.1 The ARCH class of models 6.2 Generating rates of change 6.3 Testing for ARCH effects 6.4 Forecasting from an ARCH model 6.5 Problems with ARCH models in practice7 Other Volatility Models 7.1 GARCH models 7.2 GARCH model estimation7.3 EGARCH model7.4 PARCH Model7.5 TARCH Model 8 Multivariate Time Series Analysis 8.1 VAR model8.2 ADL model8.3 Other Cointegration models