Download or read book Econometric Methods And Their Applications In Finance Macro And Related Fields written by Kaddour Hadri and published by World Scientific. This book was released on 2014-04-10 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume aims at providing an outlet for some of the best papers presented at the 15th Annual Conference of the African Econometric Society, which is one of the “chapters” of the International Econometric Society. Many of these papers represent the state of the art in financial econometrics and applied econometric modeling, and some also provide useful simulations that shed light on the models' ability to generate meaningful scenarios for forecasting and policy analysis.

Download or read book Econometric Methods and Their Applications in Finance Macro and Related Fields written by Kaddour Hadri and published by World Scientific. This book was released on 2014 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume aims at providing an outlet for some of the best papers presented at the 15th Annual Conference of the African Econometric Society, which is one of the OC chaptersOCO of the International Econometric Society. Many of these papers represent the state of the art in financial econometrics and applied econometric modeling, and some also provide useful simulations that shed light on the models'' ability to generate meaningful scenarios for forecasting and policy analysis. Contents: Financial Econometrics and International Finance: Modeling Interest Rates Using Reducible Stochastic Differential Equations: A Copula-Based Multivariate Approach (Ruijun Bu, Ludovic Giet, Kaddour Hadri and Michel Lubrano); Financial Risk Management Using Asymmetric Heavy-Tailed Distribution and Nonlinear Dependence Structures of Asset Returns Under Discontinuous Dynamics (Alaa El-Shazly); Modeling Time-Varying Dependence in the Term Structure of Interest Rates (Diaa Noureldin); Nonlinear Filtering and Market Implied Rating for a Jump-Diffusion Structural Model of Credit Risk (Alaa El-Shazly); Time-Varying Optimal Weights for International Asset Allocation in African and South Asian Markets (Dalia El-Edel); Econometric Theory and Methods: Econometric Methods for Ordered Responses: Some Recent Developments (Franco Peracchi); Which Quantile Is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression (Anil K Bera, Antonio F Galvao Jr., Gabriel V Montes-Rojas, Sung Y Park); The Experimetrics of Fairness (Anna Conte and Peter Moffatt); Uniform in Bandwidth Tests of Specification for Conditional Moment Restrictions Models (Pascal Lavergne and Pierre Nguimkeu); Joint LM Test for Homoscedasticity in a Two Way Error Components Model (Eugene Kouassi, Joel Sango, J M BossonBrou and Kern O Kymn); An Approximation to the Distribution of the Pooled Estimator When the Time Series Equation Is One of a Complete System (Ghazal Amer and William Mikhail); Monetary, Labor, Environmental and Other Econometric Applications: Monetary Policy and the Role of the Exchange Rate in Egypt (Tarek Morsi and Mai El-Mossallamy); International Migration, Remittances and Household Poverty Status in Egypt (Rania Roushdy, Ragui Assaad and Ali Rashed); Determinants of Job Quality and Wages of the Working Poor: Evidence From 1998OCo2006 Egypt Labor Market Panel Survey (Mona Said); A Contract-Theoretic Model of Conservation Agreements (Heidi Gjertsen, Theodore Groves, David A Miller, Eduard Niesten, Dale Squires and Joel Watson); Household Environment and Child Health in Egypt (Mahmoud Hailat and Franco Peracchi); Modeling the Relationship between Natural Resource Abundance, Economic Growth, and the Environment: A Cross-Country Study (Hala Abou-Ali and Yasmine M Abdelfattah); Global Cement Industry: Competitive and Institutional Frameworks (Tarek H Selim and Ahmed S Salem); On the Occurrence of Ponzi Schemes in Presence of Credit Restrictions Penalizing Default (Abdelkrim Seghir); Is Targeted Advertising Always Beneficial? (Nada Ben Elhadj-Ben Brahim, Rim Lahmandi-Ayed and Didier Laussel). Readership: Graduate students and researchers in the fields of econometrics, economic theory, applied econometrics.

Download or read book Recent Econometric Techniques for Macroeconomic and Financial Data written by Gilles Dufrénot and published by Springer Nature. This book was released on 2020-11-21 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models. The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.

Download or read book Econometric Methods with Applications in Business and Economics written by Christiaan Heij and published by OUP Oxford. This book was released on 2004-03-25 with total page 816 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nowadays applied work in business and economics requires a solid understanding of econometric methods to support decision-making. Combining a solid exposition of econometric methods with an application-oriented approach, this rigorous textbook provides students with a working understanding and hands-on experience of current econometrics. Taking a 'learning by doing' approach, it covers basic econometric methods (statistics, simple and multiple regression, nonlinear regression, maximum likelihood, and generalized method of moments), and addresses the creative process of model building with due attention to diagnostic testing and model improvement. Its last part is devoted to two major application areas: the econometrics of choice data (logit and probit, multinomial and ordered choice, truncated and censored data, and duration data) and the econometrics of time series data (univariate time series, trends, volatility, vector autoregressions, and a brief discussion of SUR models, panel data, and simultaneous equations). · Real-world text examples and practical exercise questions stimulate active learning and show how econometrics can solve practical questions in modern business and economic management. · Focuses on the core of econometrics, regression, and covers two major advanced topics, choice data with applications in marketing and micro-economics, and time series data with applications in finance and macro-economics. · Learning-support features include concise, manageable sections of text, frequent cross-references to related and background material, summaries, computational schemes, keyword lists, suggested further reading, exercise sets, and online data sets and solutions. · Derivations and theory exercises are clearly marked for students in advanced courses. This textbook is perfect for advanced undergraduate students, new graduate students, and applied researchers in econometrics, business, and economics, and for researchers in other fields that draw on modern applied econometrics.

Download or read book Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Download or read book Handbook of Research on Emerging Theories Models and Applications of Financial Econometrics written by Burcu Adıgüzel Mercangöz and published by Springer Nature. This book was released on 2021-02-17 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.

Download or read book Financial Econometrics written by Christian Gourieroux and published by Princeton University Press. This book was released on 2022-12-13 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a fast expansion of financial markets and an increasing variety and complexity of financial products. This has fueled the demand for people with advanced econometrics skills. For professionals and advanced graduate students pursuing greater expertise in econometric modeling, this is a superb guide to the field's frontier. With the goal of providing information that is absolutely up-to-date—essential in today's rapidly evolving financial environment—Gourieroux and Jasiak focus on methods related to foregoing research and those modeling techniques that seem relevant to future advances. They present a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies. Practitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors. This authoritative, state-of-the-art reference text is ideal for upper-level graduate students, researchers, and professionals seeking to update their skills and gain greater facility in using econometric models. All will benefit from the emphasis on practical aspects of financial modeling and statistical inference. Doctoral candidates will appreciate the inclusion of detailed mathematical derivations of the deeper results as well as the more advanced problems concerning high-frequency data and risk control. By establishing a link between practical questions and the answers provided by financial and statistical theory, the book also addresses the needs of applied researchers employed by financial institutions.

Download or read book Applied Financial Econometrics written by Moinak Maiti and published by Springer Nature. This book was released on 2021-08-31 with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook gives students an approachable, down to earth resource for the study of financial econometrics. While the subject can be intimidating, primarily due to the mathematics and modelling involved, it is rewarding for students of finance and can be taught and learned in a straightforward way. This book, going from basics to high level concepts, offers knowledge of econometrics that is intended to be used with confidence in the real world. This book will be beneficial for both students and tutors who are associated with econometrics subjects at any level.

Download or read book Econometrics for Financial Applications written by Ly H. Anh and published by Springer. This book was released on 2017-12-18 with total page 1081 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book addresses both theoretical developments in and practical applications of econometric techniques to finance-related problems. It includes selected edited outcomes of the International Econometric Conference of Vietnam (ECONVN2018), held at Banking University, Ho Chi Minh City, Vietnam on January 15-16, 2018. Econometrics is a branch of economics that uses mathematical (especially statistical) methods to analyze economic systems, to forecast economic and financial dynamics, and to develop strategies for achieving desirable economic performance. An extremely important part of economics is finances: a financial crisis can bring the whole economy to a standstill and, vice versa, a smart financial policy can dramatically boost economic development. It is therefore crucial to be able to apply mathematical techniques of econometrics to financial problems. Such applications are a growing field, with many interesting results – and an even larger number of challenges and open problems.

Download or read book Financial Macro and Micro Econometrics Using R written by Hrishikesh D. Vinod and published by North Holland. This book was released on 2020-01-24 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial, Macro and Micro Econometrics Using R, Volume 42, provides state-of-the-art information on important topics in econometrics, including multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, financial market jumps and co-jumps, among other topics. Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society Includes descriptions and links to resources and free open source R Gives readers what they need to jumpstart their understanding on the state-of-the-art

Download or read book Macroeconometric Methods written by Pami Dua and published by Springer Nature. This book was released on 2023-04-08 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides empirical applications of macroeconometric methods through discussions on key issues in the Indian economy. It deals with issues of topical relevance in the arena of macroeconomics. The aim is to apply time series and financial econometric methods to macroeconomic issues of an emerging economy such as India. The data sources are given in each chapter, and students and researchers may replicate the analyses.The book is divided into three parts—Part I: Macroeconomic Modelling and Policy; Part II: Forecasting the Indian Economy and Part III: Business Cycles and Global Crises. It provides a holistic understanding of the techniques with each chapter delving into a relevant issue analysed using appropriate methods—Chapter 1: Introduction; Chapter 2: Macroeconomic Modelling and Bayesian Methods; Chapter 3: Monetary Policy Framework in India; Chapter 4: Determinants of Yields on Government Securities in India; Chapter 5: Monetar y Transmission in the Indian Economy; Chapter 6: India’s Bilateral Export Growth and Exchange Rate Volatility: A Panel GMM Approach; Chapter 7: Aggregate and Sectoral Productivity Growth in the Indian Economy: Analysis and Determinants; Chapter 8: Forecasting the INR/USD Exchange Rate: A BVAR Framework; Chapter 9: Forecasting India’s Inflation in a Data-Rich Environment: A FAVAR Study; Chapter 10: A Structural Macroeconometric Model for India; Chapter 11: International Synchronization of Growth Rate Cycles: An Analysis in Frequency Domain; Chapter 12: Inter-Linkages Between Asian and U.S. Stock Market Returns: A Multivariate GARCH Analysis; Chapter 13: The Increasing Synchronization of International Recessions. Since the selection of issues is from macroeconomic aspects of the Indian economy, the book has wide applications and is useful for students and researchers of fields such as applied econometrics, time series econometrics, financial econometrics, forecasting methods and macroeconomics.

Download or read book The Econometric Analysis of Recurrent Events in Macroeconomics and Finance written by Don Harding and published by Princeton University Press. This book was released on 2016-07-26 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global financial crisis highlighted the impact on macroeconomic outcomes of recurrent events like business and financial cycles, highs and lows in volatility, and crashes and recessions. At the most basic level, such recurrent events can be summarized using binary indicators showing if the event will occur or not. These indicators are constructed either directly from data or indirectly through models. Because they are constructed, they have different properties than those arising in microeconometrics, and how one is to use them depends a lot on the method of construction. This book presents the econometric methods necessary for the successful modeling of recurrent events, providing valuable insights for policymakers, empirical researchers, and theorists. It explains why it is inherently difficult to forecast the onset of a recession in a way that provides useful guidance for active stabilization policy, with the consequence that policymakers should place more emphasis on making the economy robust to recessions. The book offers a range of econometric tools and techniques that researchers can use to measure recurrent events, summarize their properties, and evaluate how effectively economic and statistical models capture them. These methods also offer insights for developing models that are consistent with observed financial and real cycles. This book is an essential resource for students, academics, and researchers at central banks and institutions such as the International Monetary Fund.

Download or read book Linear and Non Linear Financial Econometrics written by Mehmet Terzioğlu and published by BoD – Books on Demand. This book was released on 2021-03-17 with total page 339 pages. Available in PDF, EPUB and Kindle. Book excerpt: The importance of experimental economics and econometric methods increases with each passing day as data quality and software performance develops. New econometric models are developed by diverging from earlier cliché econometric models with the emergence of specialized fields of study. This book, which is expected to be an extensive and useful reference by bringing together some of the latest developments in the field of econometrics, also contains quantitative examples and problem sets. We thank all the authors who contributed to this book with their studies that provide extensive and accessible explanations of the existing econometric methods.

Download or read book Handbook of Financial Econometrics Mathematics Statistics and Machine Learning written by and published by . This book was released on 2021 with total page 1180 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts. In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook. Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience"-- Provided by publisher.

Download or read book Handbook of Research on Emerging Theories Models and Applications of Financial Econometrics written by Burcu Adıgüzel Mercangöz and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.

Download or read book Contributions to Modern Econometrics written by Ingo Klein and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of econometrics has gone through remarkable changes during the last thirty-five years. Widening its earlier focus on testing macroeconomic theories, it has become a rather comprehensive discipline concemed with the development of statistical methods and their application to the whole spectrum of economic data. This development becomes apparent when looking at the biography of an econometrician whose illustrious research and teaching career started about thirty-five years ago and who will retire very soon after his 65th birthday. This is Gerd Hansen, professor of econometrics at the Christian Albrechts University at Kiel and to whom this volume with contributions from colleagues and students has been dedicated. He has shaped the econometric landscape in and beyond Germany throughout these thirty-five years. At the end of the 1960s he developed one of the first econometric models for the German econ omy which adhered c10sely to the traditions put forth by the Cowles commission.

Download or read book Financial Econometrics Problems Models And Methods written by Christian Gourierous and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Econometrics Is A Great Success Story In Economics. Econometrics Uses Data And Statistical Inference Methods, Together With Structural And Descriptive Modeling, To Address Rigorous Economic Problems. Its Development Within The World Of Finance Is Quite Recent And Has Been Paralleled By A Fast Expansion Of Financial Markets And An Increasing Variety And Complexity Of Financial Products. This Has Fueled The Demand For People With Advanced Econometrics Skills.For Professionals And Advanced Graduate Students Pursuing Greater Expertise In Econometric Modeling, This Is A Superb Guide To The Field'S Frontier. With The Goal Of Providing Information That Is Absolutely Up-To-Date3⁄4Essential In Today'S Rapidly Evolving Financial Environment3⁄4Gourieroux And Jasiak Focus On Methods Related To Current Research And Those Modeling Techniques That Seem Relevant To Future Advances. They Present A Balanced Synthesis Of Financial Theory And Statistical Methodology. Recognizing That Any Model Is Necessarily A Simplified Image Of Reality And That Econometric Methods Must Be Adapted And Applied On A Case-By-Case Basis, The Authors Employ A Wide Variety Of Data Sampled At Frequencies Ranging From Intraday To Monthly. These Data Comprise Time Series Representing Both The European And North American Markets For Stocks, Bonds, And Foreign Currencies. Practitioners Are Encouraged To Keep A Critical Eye And Are Armed With Graphical Diagnostics To Eradicate Misspecification Errors.This Authoritative, State-Of-The-Art Reference Text Is Ideal For Upper-Level Graduate Students, Researchers, And Professionals Seeking To Update Their Skills And Gain Greater Facility In Using Econometric Models. All Will Benefit From The Emphasis On Practical Aspects Of Financial Modeling And Statistical Inference. Doctoral Candidates Will Appreciate The Inclusion Of Detailed Mathematical Derivations Of The Deeper Results As Well As The More Advanced Problems Concerning High-Frequency Data And Risk Control. By Establishing A Link Between Practical Questions And The Answers Provided By Financial And Statistical Theory, The Book Also Addresses The Needs Of Applied Researchers Employed By Financial Institutions.This Special Low-Priced Edition Is For Sale In India, Bangladesh, Bhutan, Maldives, Nepal, Myanmar, Pakistan And Sri Lanka Only.