Recent Perspectives and Case Studies in Finance & Econometrics
Author: Ozan Gönüllü
Publisher: IJOPEC PUBLICATION
Published: 2018-11-30
Total Pages: 125
ISBN-13: 1912503514
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Introductory Econometrics for Finance
Author: Chris Brooks
Publisher: Cambridge University Press
Published: 2008-05-22
Total Pages: 752
ISBN-13: 1139472305
DOWNLOAD EBOOKThis 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.
The Econometrics of Financial Markets
Author: John Y. Campbell
Publisher: Princeton University Press
Published: 2012-06-28
Total Pages: 630
ISBN-13: 1400830214
DOWNLOAD EBOOKThe 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.
Financial Econometrics
Author: Oliver Linton
Publisher: Cambridge University Press
Published: 2019-02-21
Total Pages: 585
ISBN-13: 1107177154
DOWNLOAD EBOOKPresents an up-to-date treatment of the models and methodologies of financial econometrics by one of the world's leading financial econometricians.
The Elements of Financial Econometrics
Author: Jianqing Fan
Publisher: Cambridge University Press
Published: 2017-03-23
Total Pages: 394
ISBN-13: 1107191173
DOWNLOAD EBOOKA 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.
Bayesian Methods in Finance
Author: William Johnson
Publisher: HiTeX Press
Published: 2024-10-16
Total Pages: 403
ISBN-13:
DOWNLOAD EBOOK"Bayesian Methods in Finance: Probabilistic Approaches to Market Uncertainty" offers an authoritative exploration of how Bayesian statistics can transform financial analysis into a more predictive and adaptive process. Within the rapidly evolving tapestry of global financial markets, the ability to quantify uncertainty and integrate diverse streams of information stands as a crucial advantage. This book expertly demystifies the intricate principles of Bayesian thinking, guiding readers through its application across a spectrum of financial contexts, from asset pricing to risk management and portfolio construction. Through a careful blend of theory and practical insights, it introduces the reader to Bayesian frameworks that eclipse traditional models in both flexibility and robustness, making them indispensable tools for modern investors and financial professionals. Readers will find a clear roadmap for navigating the complex landscape of market dynamics with the confidence that comes from sound, data-driven strategies. By integrating Bayesian approaches with machine learning, this text unlocks more nuanced analyses and predictive capabilities, catering to both novice learners and experienced market strategists. Rich with real-world case studies, each chapter not only illuminates techniques but also showcases their powerful applications in decision-making processes. Embark on a deep dive into the future of financial modeling, where the calculated embrace of uncertainty opens doors to innovative solutions and unparalleled insights.
Applied Financial Econometrics
Author: Moinak Maiti
Publisher: Springer Nature
Published: 2021-08-31
Total Pages: 287
ISBN-13: 9811640637
DOWNLOAD EBOOKThis 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.
Globalization in Historical Perspective
Author: Michael D. Bordo
Publisher: University of Chicago Press
Published: 2007-11-01
Total Pages: 600
ISBN-13: 0226065995
DOWNLOAD EBOOKAs awareness of the process of globalization grows and the study of its effects becomes increasingly important to governments and businesses (as well as to a sizable opposition), the need for historical understanding also increases. Despite the importance of the topic, few attempts have been made to present a long-term economic analysis of the phenomenon, one that frames the issue by examining its place in the long history of international integration. This volume collects eleven papers doing exactly that and more. The first group of essays explores how the process of globalization can be measured in terms of the long-term integration of different markets-from the markets for goods and commodities to those for labor and capital, and from the sixteenth century to the present. The second set of contributions places this knowledge in a wider context, examining some of the trends and questions that have emerged as markets converge and diverge: the roles of technology and geography are both considered, along with the controversial issues of globalization's effects on inequality and social justice and the roles of political institutions in responding to them. The final group of essays addresses the international financial systems that play such a large part in guiding the process of globalization, considering the influence of exchange rate regimes, financial development, financial crises, and the architecture of the international financial system itself. This volume reveals a much larger picture of the process of globalization, one that stretches from the establishment of a global economic system during the nineteenth century through the disruptions of two world wars and the Great Depression into the present day. The keen analysis, insight, and wisdom in this volume will have something to offer a wide range of readers interested in this important issue.
The Econometric Modelling of Financial Time Series
Author: Terence C. Mills
Publisher: Cambridge University Press
Published: 2008-03-20
Total Pages: 411
ISBN-13: 1139470817
DOWNLOAD EBOOKTerence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.
Empirical Economic and Financial Research
Author: Jan Beran
Publisher: Springer
Published: 2014-11-07
Total Pages: 506
ISBN-13: 3319031228
DOWNLOAD EBOOKThe purpose of this book is to establish a connection between the traditional field of empirical economic research and the emerging area of empirical financial research and to build a bridge between theoretical developments in these areas and their application in practice. Accordingly, it covers broad topics in the theory and application of both empirical economic and financial research, including analysis of time series and the business cycle; different forecasting methods; new models for volatility, correlation and of high-frequency financial data and new approaches to panel regression, as well as a number of case studies. Most of the contributions reflect the state-of-art on the respective subject. The book offers a valuable reference work for researchers, university instructors, practitioners, government officials and graduate and post-graduate students, as well as an important resource for advanced seminars in empirical economic and financial research.
