Introductory Econometrics for FinanceCambridge University Press, 28 Mar 2019 - 724 halaman A complete resource for finance students, this textbook presents the most common empirical approaches in finance in a comprehensive and well-illustrated manner that shows how econometrics is used in practice, and includes detailed case studies to explain how the techniques are used in relevant financial contexts. Maintaining the accessible prose and clear examples of previous editions, the new edition of this best-selling textbook provides support for the main industry-standard software packages, expands the coverage of introductory mathematical and statistical techniques into two chapters for students without prior econometrics knowledge, and includes a new chapter on advanced methods. Learning outcomes, key concepts and end-of-chapter review questions (with full solutions online) highlight the main chapter takeaways and allow students to self-assess their understanding. Online resources include extensive teacher and student support materials, including EViews, Stata, R, and Python software guides. |
Isi
Statistical Foundations and Dealing with Data | 41 |
A Brief Overview of the Classical Linear Regression Model | 94 |
1 Mathematical Derivations of CLRM Results | 139 |
Further Development and Analysis of the Classical Linear | 146 |
1 Mathematical Derivations of CLRM Results | 173 |
Classical Linear Regression Model Assumptions and Diagnostic | 182 |
Univariate TimeSeries Modelling and Forecasting | 246 |
Multivariate Models | 293 |
Limited Dependent Variable Models | 516 |
1 The Maximum Likelihood Estimator for Logit and Probit | 544 |
Chapter13 Simulation Methods | 546 |
5 | 556 |
Additional Econometric Techniques for Financial Research | 571 |
3 | 592 |
Conducting Empirical Research or Doing a Project | 617 |
5 | 623 |
Modelling LongRun Relationships in Finance | 334 |
Modelling Volatility and Correlation | 384 |
1 Parameter Estimation Using Maximum | 440 |
Switching and State Space Models | 447 |
Chapter11 Panel Data | 490 |
Sources of Data Used in This Book and the Accompanying | 632 |
Glossary | 646 |
| 672 | |
| 688 | |
Edisi yang lain - Lihat semua
Istilah dan frasa umum
abnormal returns approach asset assumption autocovariances autoregressive average beta calculate CAPM Chapter coefficient estimates cointegrating conditional variance constant context correlation covariance critical values cross-sectional degrees of freedom denoted dependent variable derivative determine dummy variables econometrics effect equation error term example expected explanatory variables F-distribution F-test Figure forecasts formula fund GARCH model given heteroscedasticity hypothesis testing intercept interest rate known kurtosis linear matrix maximum likelihood mean measure minimise multicollinearity negative non-linear normal distribution null hypothesis number of observations OLS estimator pacf parameter estimates partial autocorrelation period plot portfolio positive possible quantile random variable regression model rejected relationship researcher residual sum restrictions risk sample significant slope standard deviation standard errors stationary sum of squares t-ratios Table techniques test statistic time-series unit root variance-covariance matrix volatility zero αο σ²