The Basics Of Financial Econometrics
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Financial Econometrics
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Author : Svetlozar T. Rachev
language : en
Publisher: John Wiley & Sons
Release Date : 2007-03-22
Financial Econometrics written by Svetlozar T. Rachev and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-03-22 with Business & Economics categories.
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.
The Basics Of Financial Econometrics
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Author : Frank J. Fabozzi
language : en
Publisher: John Wiley & Sons
Release Date : 2014-03-04
The Basics Of Financial Econometrics written by Frank J. Fabozzi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-03-04 with Business & Economics categories.
An accessible guide to the growing field of financial econometrics As finance and financial products have become more complex, financial econometrics has emerged as a fast-growing field and necessary foundation for anyone involved in quantitative finance. The techniques of financial econometrics facilitate the development and management of new financial instruments by providing models for pricing and risk assessment. In short, financial econometrics is an indispensable component to modern finance. The Basics of Financial Econometrics covers the commonly used techniques in the field without using unnecessary mathematical/statistical analysis. It focuses on foundational ideas and how they are applied. Topics covered include: regression models, factor analysis, volatility estimations, and time series techniques. Covers the basics of financial econometrics—an important topic in quantitative finance Contains several chapters on topics typically not covered even in basic books on econometrics such as model selection, model risk, and mitigating model risk Geared towards both practitioners and finance students who need to understand this dynamic discipline, but may not have advanced mathematical training, this book is a valuable resource on a topic of growing importance.
Handbook Of Research On Emerging Theories Models And Applications Of Financial Econometrics
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Author : Burcu Adıgüzel Mercangöz
language : en
Publisher: Springer Nature
Release Date : 2021-02-17
Handbook Of Research On Emerging Theories Models And Applications Of Financial Econometrics written by Burcu Adıgüzel Mercangöz and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-02-17 with Business & Economics categories.
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.
Handbook Of Financial Econometrics
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Author : Yacine Ait-Sahalia
language : en
Publisher: Elsevier
Release Date : 2009-10-19
Handbook Of Financial Econometrics written by Yacine Ait-Sahalia and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-19 with Business & Economics categories.
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
The Elements Of Financial Econometrics
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Author : Jianqing Fan
language : en
Publisher: Cambridge University Press
Release Date : 2017-03-23
The Elements Of Financial Econometrics written by Jianqing Fan and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-23 with Business & Economics categories.
A compact, master's-level textbook on financial econometrics, focusing on methodology and including real financial data illustrations throughout. The mathematical level is purposely kept moderate, allowing the power of the quantitative methods to be understood without too much technical detail.
The Econometrics Of Financial Markets
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Author : John Y. Campbell
language : en
Publisher: Princeton University Press
Release Date : 2012-06-28
The Econometrics Of Financial Markets written by John Y. Campbell and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-06-28 with Business & Economics categories.
A landmark book on quantitative methods in financial markets for graduate students and finance professionals Recent decades have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is designed 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 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 learned into their own applications.
Financial Econometrics
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Author : Peijie Wang
language : en
Publisher: Routledge
Release Date : 2008-09-19
Financial Econometrics written by Peijie Wang and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-09-19 with Business & Economics categories.
This book provides an essential toolkit for all students wishing to know more about the modelling and analysis of financial data. Applications of econometric techniques are becoming increasingly common in the world of finance and this second edition of an established text covers the following key themes:- unit roots, cointegration and other develop
Financial Economics And Econometrics
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Author : Nikiforos T. Laopodis
language : en
Publisher: Taylor & Francis
Release Date : 2021-12-14
Financial Economics And Econometrics written by Nikiforos T. Laopodis and has been published by Taylor & Francis this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-12-14 with Business & Economics categories.
Financial Economics and Econometrics provides an overview of the core topics in theoretical and empirical finance, with an emphasis on applications and interpreting results. Structured in five parts, the book covers financial data and univariate models; asset returns; interest rates, yields and spreads; volatility and correlation; and corporate finance and policy. Each chapter begins with a theory in financial economics, followed by econometric methodologies which have been used to explore the theory. Next, the chapter presents empirical evidence and discusses seminal papers on the topic. Boxes offer insights on how an idea can be applied to other disciplines such as management, marketing and medicine, showing the relevance of the material beyond finance. Readers are supported with plenty of worked examples and intuitive explanations throughout the book, while key takeaways, ‘test your knowledge’ and ‘test your intuition’ features at the end of each chapter also aid student learning. Digital supplements including PowerPoint slides, computer codes supplements, an Instructor’s Manual and Solutions Manual are available for instructors. This textbook is suitable for upper-level undergraduate and graduate courses on financial economics, financial econometrics, empirical finance and related quantitative areas.
Introductory Econometrics For Finance
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Author : Chris Brooks
language : en
Publisher: Cambridge University Press
Release Date : 2008-05-22
Introductory Econometrics For Finance written by Chris Brooks and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-05-22 with Business & Economics categories.
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.
Applied Financial Econometrics
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Author : Moinak Maiti
language : en
Publisher: Springer Nature
Release Date : 2021-08-31
Applied Financial Econometrics written by Moinak Maiti and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-08-31 with Business & Economics categories.
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.