Applied Financial Econometrics

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  • Publisher : Springer Nature
  • Release : 31 August 2021
  • ISBN : 9789811640636
  • Page : 287 pages
  • Rating : 4.5/5 from 103 voters

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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.

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Applied Financial Econometrics

Applied Financial Econometrics
  • Author : Moinak Maiti
  • Publisher : Springer Nature
  • Release Date : 2021-08-31
  • ISBN : 9789811640636
GET THIS BOOKApplied Financial Econometrics

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

Financial Econometrics

Financial Econometrics
  • Author : Oliver Linton
  • Publisher : Cambridge University Press
  • Release Date : 2019-01-31
  • ISBN : 9781107177154
GET THIS BOOKFinancial Econometrics

Presents an up-to-date treatment of the models and methodologies of financial econometrics by one of the world's leading financial econometricians.

Handbook of Financial Econometrics

Handbook of Financial Econometrics
  • Author : Yacine Ait-Sahalia,Lars Peter Hansen
  • Publisher : Elsevier
  • Release Date : 2009-10-19
  • ISBN : 0080929842
GET THIS BOOKHandbook of Financial Econometrics

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

Introductory Econometrics for Finance

Introductory Econometrics for Finance
  • Author : Chris Brooks
  • Publisher : Cambridge University Press
  • Release Date : 2008-05-22
  • ISBN : 9781139472302
GET THIS BOOKIntroductory Econometrics for Finance

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

Financial Economics and Econometrics

Financial Economics and Econometrics
  • Author : Nikiforos T. Laopodis
  • Publisher : Routledge
  • Release Date : 2021-12-15
  • ISBN : 9781000506082
GET THIS BOOKFinancial Economics and Econometrics

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

Financial Econometrics, Mathematics and Statistics

Financial Econometrics, Mathematics and Statistics
  • Author : Cheng-Few Lee,Hong-Yi Chen,John Lee
  • Publisher : Springer
  • Release Date : 2019-06-03
  • ISBN : 9781493994298
GET THIS BOOKFinancial Econometrics, Mathematics and Statistics

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

Theory and Econometrics of Financial Asset Pricing

Theory and Econometrics of Financial Asset Pricing
  • Author : Lim Kian Guan
  • Publisher : Unknown
  • Release Date : 2021-08
  • ISBN : 3110673851
GET THIS BOOKTheory and Econometrics of Financial Asset Pricing

This book will provide a firm foundation in the understanding of financial economics applied to asset pricing. It carries the real world perspective of how the market works, including behavioral biases, and also wraps that understanding in the context of a rigorous economics framework of investors' risk preferences, underlying price dynamics, rational choice in the large, and market equilibrium other than inexplicable irrational bubbles. We concentrate on analyses of stock, credit, and option pricing. Existing highly cited finance models in

The Econometrics of Financial Markets

The Econometrics of Financial Markets
  • Author : John Y. Campbell,Andrew W. Lo,A. Craig MacKinlay
  • Publisher : Princeton University Press
  • Release Date : 2012-06-28
  • ISBN : 9781400830213
GET THIS BOOKThe Econometrics of Financial Markets

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,

Financial Econometrics

Financial Econometrics
  • Author : Peijie Wang
  • Publisher : Routledge
  • Release Date : 2008-09-19
  • ISBN : 9781134091454
GET THIS BOOKFinancial Econometrics

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 Econometrics

Financial Econometrics
  • Author : Christian Gourieroux,Joann Jasiak
  • Publisher : Princeton University Press
  • Release Date : 2018-06-05
  • ISBN : 9780691187020
GET THIS BOOKFinancial Econometrics

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,

Applied Financial Economics -- Theory with Empirics

Applied Financial Economics -- Theory with Empirics
  • Author : Chiu Yu Ko
  • Publisher : Chiu Yu Ko
  • Release Date : 2022-06-30
  • ISBN : 0987654321XXX
GET THIS BOOKApplied Financial Economics -- Theory with Empirics

We cover two main parts in this textbook: how to model price movement and trading process. Prices are studied under fundamental analysis (Chapter 1), technical analysis (Chapter 2), time series analysis (Chapter 3) and factor pricing model (Chapter 4). For application, we consider event study and difference-and-difference estimation to examine various maker anomalies (Chapter 5). For trading process, we first study how to characterize the outcome (Chapter 6). Then we study Roll model that shows how trading cost affects price movement (Chapter 7). Using inventory model, we

Applied Econometrics

Applied Econometrics
  • Author : Chia-Lin Chang
  • Publisher : MDPI
  • Release Date : 2019-05-13
  • ISBN : 9783038979265
GET THIS BOOKApplied Econometrics

Although the theme of the monograph is primarily related to “Applied Econometrics”, there are several theoretical contributions that are associated with empirical examples, or directions in which the novel theoretical ideas might be applied. The monograph is associated with significant and novel contributions in theoretical and applied econometrics; economics; theoretical and applied financial econometrics; quantitative finance; risk; financial modeling; portfolio management; optimal hedging strategies; theoretical and applied statistics; applied time series analysis; forecasting; applied mathematics; energy economics; energy finance; tourism

Modeling Financial Time Series with S-PLUS

Modeling Financial Time Series with S-PLUS
  • Author : Eric Zivot,Jiahui Wang
  • Publisher : Springer Science & Business Media
  • Release Date : 2013-11-11
  • ISBN : 9780387217635
GET THIS BOOKModeling Financial Time Series with S-PLUS

The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students

International Financial Markets

International Financial Markets
  • Author : Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji
  • Publisher : Routledge
  • Release Date : 2019-06-28
  • ISBN : 9781351669214
GET THIS BOOKInternational Financial Markets

This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. International Financial Markets: Volume I provides a key repository on the current state of knowledge, the latest debates and recent literature on international financial markets. Against the background of the "financialization of commodities" since the 2008 sub-primes crisis, section one contains recent contributions on commodity and financial markets, pushing the frontiers of applied

Panel Methods for Finance

Panel Methods for Finance
  • Author : Marno Verbeek
  • Publisher : Walter de Gruyter GmbH & Co KG
  • Release Date : 2021-10-25
  • ISBN : 9783110660814
GET THIS BOOKPanel Methods for Finance

Financial data are typically characterised by a time-series dimension and a cross-sectional dimension. For example, we may observe financial information on a group of firms over a number of years, or we may observe returns of all stocks traded at NYSE over a period of 120 months. Accordingly, econometric modelling in finance requires appropriate attention to these two -- or occasionally more than two -- dimensions of the data. Panel data techniques are developed to do exactly this. This book provides