Introduction to Financial Econometrics

เศรษฐมิติทางการเงินเบื้องต้น พร้อมตัวอย่างการใช้โปรแกรม R ฉบับพิมพ์ครั้งที่ 2

Introduction to Financial Econometrics with R Examples, 2nd Edition

Kongcharoen, Chaleampong. Thammasat University Press, 2567 (2024).

About the Book

This textbook introduces econometric methods for analysing financial and macroeconomic time series data, with hands-on examples using the R programming language. Written in Thai, it serves as the required textbook for EC435 Introduction to Financial Econometrics at the Faculty of Economics, Thammasat University.

The second edition has been fully revised and expanded to include new topics and updated R examples throughout.

Contents

1. Introduction: financial time series and return calculation
2. Statistical characteristics of financial time series
3. Linear time series models — AR, MA, and ARMA models
4. Dynamic time series regression
5. Volatility models — ARCH and GARCH
6. Multivariate time series — Vector Autoregressive (VAR) model
7. Cointegration and Vector Error Correction Model (VECM)

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