Download or read book Recent Perspectives and Case Studies in Finance Econometrics written by Ozan Gönüllü and published by IJOPEC PUBLICATION. This book was released on 2018-11-30 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Current Debates in Finance Econometrics written by Ozan Gönüllü and published by IJOPEC. This book was released on 2018 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: As the outcome of the seventh international congress, the papers in this volume cover a wide range of topics related to the main theme of the conference, titled “Current Debates in Social Sciences”, and basically focus on finance and econometrics. Even though most of the papers deal with the empirical analysis on finance, there are also studies on econometrics analysis. In this context, the articles in the book draw attention to the different aspects of finance and econometrics such as outlined banking sector studies, capital market analysis and case studies, the impact of the use of social media for financial purposes on financial literacy, discussion of the performance evaluation of Type A mutual funds in Turkey. The U-shape hypothesis validity in Turkey, validity of the hypothesis of unemployment hysteria in selected OECD countries. We believe that these studies would contribute to the development of debates in social sciences and encourage interdisciplinary approaches.
Download or read book High Frequency Financial Econometrics written by Luc Bauwens and published by Springer Science & Business Media. This book was released on 2007-12-31 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.
Download or read book Introductory Econometrics for Finance written by Chris Brooks and published by Cambridge University Press. This book was released on 2008-05-22 with total page 752 pages. Available in PDF, EPUB and Kindle. Book excerpt: This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. Key features: • Thoroughly revised and updated, including two new chapters on panel data and limited dependent variable models • Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models • Detailed examples and case studies from finance show students how techniques are applied in real research • Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results • Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice • Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods • Thoroughly class-tested in leading finance schools. Bundle with EViews student version 6 available. Please contact us for more details.
Download or read book Financial Econometrics written by Oliver Linton and published by Cambridge University Press. This book was released on 2019-02-21 with total page 585 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents an up-to-date treatment of the models and methodologies of financial econometrics by one of the world's leading financial econometricians.
Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-19 with total page 809 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections
Download or read book The Econometrics of Financial Markets written by John Y. Campbell and published by Princeton University Press. This book was released on 2012-06-28 with total page 630 pages. Available in PDF, EPUB and Kindle. Book excerpt: The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.
Download or read book Financial Econometrics Mathematics and Statistics written by Cheng-Few Lee and published by Springer. This book was released on 2019-06-03 with total page 655 pages. Available in PDF, EPUB and Kindle. Book excerpt: This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics introduces tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting financial accounting research. Divided into four parts, the text begins with topics related to regression and financial econometrics. Subsequent sections describe time-series analyses; the role of binomial, multi-nomial, and log normal distributions in option pricing models; and the application of statistics analyses to risk management. The real-world applications and problems offer students a unique insight into such topics as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments. Written by leading academics in the quantitative finance field, allows readers to implement the principles behind financial econometrics and statistics through real-world applications and problem sets. This textbook will appeal to a less-served market of upper-undergraduate and graduate students in finance, economics, and statistics.
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 Financial Econometrics written by Anokye Mohammed Adam and published by Nova Science Publishers. This book was released on 2017 with total page 339 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial modelling - and for that matter, quantitative finance - is a very crucial area of study for the decision makers to make informed and robust choices in matters of interest to the growth and survival of their organisations. Thus, the skills and knowledge (at least, in this book) must be possessed by every finance professional; risk analysts, quantitative analysts, asset and portfolio managers, compliance officers, Forex and Contract for Difference (CFD) traders, etc. Econometric and statistical models employed in financial modelling are too many to be captured under this course. The econometric models captured in this book are for the purposes of fostering understanding, appreciation, and the reality of the mathematics beneath the topics in econometrics. Broadly speaking, this book covers the various facets of regression models in this important field. Diagnostics on the linear regression model, Logit and Probit (Categorical Dependent Variable Models), Stationary and Non-Stationary Time Series, Cointegration and Error Correction Models (ECM), Autoregressive Distributed Lag (ARDL) Models, forecasting with ARIMA and Vector Autoregression (VAR) models, Panel Data Regression Models, and finally Asset Price/Return Volatility: ARCH and GARCH Models are illustrated for easy comprehension.
Download or read book Econometric Analysis of Financial Markets written by Jürgen Kaehler and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of papers represents the state of the art in the applicationof recent econometric methods to the analysis of financial markets. From a methodological point of view the main emphasis is on cointegration analysis and ARCH modelling. In cointegration analysis the links between long-runcomponents of time series are studied. The methods used can be applied to the determination of equilibrium relationships between the variables, whereas ARCH models are concerned with the measurement and analysis of changing variances in time series. These econometric models have been the most significant innovations for the empirical analysis of financial time series in recent years. Other econometric methods and models applied in the papers include factor analysis, vector autoregressions, and Markov-switching models. The papers cover a wide range of issues and theories in financial and international economics: the term structure ofinterest rates, exchange-rate determination, target-zone dynamics, stock-market efficiency, and option pricing.
Download or read book The Basics of Financial Econometrics written by Frank J. Fabozzi and published by . This book was released on 2014 with total page 450 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Handbook of Financial Econometrics written by Yacine Aït-Sahalia and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original articles-8 years in the making-shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine ̐At-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. Presents a broad survey of current research-from local characterizations of the Markov process dynamics to financial market trading activity. Contributors include Nobel Prize laureate Robert Engle and other leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections.
Download or read book Data Analysis for Business Economics and Policy written by Gábor Békés and published by Cambridge University Press. This book was released on 2021-05-06 with total page 741 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive textbook on data analysis for business, applied economics and public policy that uses case studies with real-world data.
Download or read book Handbook of Financial Econometrics and Statistics written by Cheng-Few Lee and published by Springer. This book was released on 2014-09-28 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.
Download or read book Financial Econometrics written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2007 with total page 584 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.
