Econometric Methods And Their Applications In Finance Macro And Related Fields

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Econometric Methods and Their Applications in Finance, Macro and Related Fields

Kaddour Hadri,William Mikhail
Econometric Methods and Their Applications in Finance Macro and Related Fields Book PDF

Author : Kaddour Hadri,William Mikhail
Publisher : World Scientific
Page : 616 pages
File Size : 45,5 Mb
Release : 2014-04-10
Category : Business & Economics
ISBN : 9789814513487

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Econometric Methods and Their Applications in Finance, Macro and Related Fields by Kaddour Hadri,William Mikhail Pdf

The volume aims at providing an outlet for some of the best papers presented at the 15th Annual Conference of the African Econometric Society, which is one of the “chapters” of the International Econometric Society. Many of these papers represent the state of the art in financial econometrics and applied econometric modeling, and some also provide useful simulations that shed light on the models' ability to generate meaningful scenarios for forecasting and policy analysis. Contents:Financial Econometrics and International Finance:Modeling Interest Rates Using Reducible Stochastic Differential Equations: A Copula-Based Multivariate Approach (Ruijun Bu, Ludovic Giet, Kaddour Hadri and Michel Lubrano)Financial Risk Management Using Asymmetric Heavy-Tailed Distributions and Nonlinear Dependence Structures of Asset Returns Under Discontinuous Dynamics (Alaa El-Shazly)Time-Varying Dependence in the Term Structure of Interest Rates: A Copula-Based Approach (Diaa Noureldin)Nonlinear Filtering and Market Implied Rating for a Jump-Diffusion Structural Model of Credit Risk (Alaa El-Shazly)Time-Varying Optimal Weights for International Asset Allocation in African and South Asian Markets (Dalia El-Edel)Econometric Theory and Methods:Econometric Methods for Ordered Responses: Some Recent Developments (Franco Peracchi)Which Quantile is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression (Anil K Bera, Antonio F Galvao Jr, Gabriel V Montes-Rojas and Sung Y Park)The Experimetrics of Fairness (Anna Conte and Peter G Moffatt)Uniform in Bandwidth Tests of Specification for Conditional Moment Restrictions Models (Pascal Lavergne and Pierre E Nguimkeu)Joint LM Test for Homoscedasticity in a Two-Way Error Components Model (Eugene Kouassi, Joel Sango, J M Bosson Brou and Kern O Kymn)An Approximation to the Distribution of the Pooled Estimator When the Time Series Equation is One of a Complete System (William M Mikhail and Ghazal A Ghazal)Monetary, Labor and Environmental Applications:Monetary Policy and the Role of the Exchange Rate in Egypt (Tarek A Moursi and Mai El-Mossallamy)International Migration, Remittances and Household Poverty Status in Egypt (Rania Roushdy, Ragui Assaad and Ali Rashed)Determinants of Job Quality and Wages of the Working Poor: Evidence From 1998–2006 Egypt Labor Market Panel Survey (Mona Said)A Contract-Theoretic Model of Conservation Agreements (Heidi Gjertsen, Theodore Groves, David A Miller, Eduard Niesten, Dale Squires and Joel Watson)Household Environment and Child Health in Egypt (Mahmoud Hailat and Franco Peracchi)Modeling the Relationship between Natural Resource Abundance, Economic Growth, and the Environment: A Cross-Country Study (Hala Abou-Ali and Yasmine M Abdelfattah)Global Cement Industry: Competitive and Institutional Frameworks (Tarek H Selim and Ahmed S Salem)On the Occurrence of Ponzi Schemes in Presence of Credit Restrictions Penalizing Default (A Seghir)Is Targeted Advertising Always Beneficial? (Nada Ben Elhadj-Ben Brahim, Rim Lahmandi-Ayed and Didier Laussel) Readership: Graduate students and researchers in the fields of econometrics, economic theory, applied econometrics. Keywords:Financial Econometrics;Applied Econometrics;Econometric Theory and MethodsKey Features:Contains original contributions to economic theory, financial econometrics and applied econometrics

Econometric Methods and Their Applications in Finance, Macro and Related Fields

Kaddour Hadri
Econometric Methods and Their Applications in Finance Macro and Related Fields Book PDF

Author : Kaddour Hadri
Publisher : World Scientific
Page : 616 pages
File Size : 54,5 Mb
Release : 2014
Category : Business & Economics
ISBN : 9789814513470

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Econometric Methods and Their Applications in Finance, Macro and Related Fields by Kaddour Hadri Pdf

The volume aims at providing an outlet for some of the best papers presented at the 15th Annual Conference of the African Econometric Society, which is one of the OC chaptersOCO of the International Econometric Society. Many of these papers represent the state of the art in financial econometrics and applied econometric modeling, and some also provide useful simulations that shed light on the models'' ability to generate meaningful scenarios for forecasting and policy analysis. Contents: Financial Econometrics and International Finance: Modeling Interest Rates Using Reducible Stochastic Differential Equations: A Copula-Based Multivariate Approach (Ruijun Bu, Ludovic Giet, Kaddour Hadri and Michel Lubrano); Financial Risk Management Using Asymmetric Heavy-Tailed Distribution and Nonlinear Dependence Structures of Asset Returns Under Discontinuous Dynamics (Alaa El-Shazly); Modeling Time-Varying Dependence in the Term Structure of Interest Rates (Diaa Noureldin); Nonlinear Filtering and Market Implied Rating for a Jump-Diffusion Structural Model of Credit Risk (Alaa El-Shazly); Time-Varying Optimal Weights for International Asset Allocation in African and South Asian Markets (Dalia El-Edel); Econometric Theory and Methods: Econometric Methods for Ordered Responses: Some Recent Developments (Franco Peracchi); Which Quantile Is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression (Anil K Bera, Antonio F Galvao Jr., Gabriel V Montes-Rojas, Sung Y Park); The Experimetrics of Fairness (Anna Conte and Peter Moffatt); Uniform in Bandwidth Tests of Specification for Conditional Moment Restrictions Models (Pascal Lavergne and Pierre Nguimkeu); Joint LM Test for Homoscedasticity in a Two Way Error Components Model (Eugene Kouassi, Joel Sango, J M BossonBrou and Kern O Kymn); An Approximation to the Distribution of the Pooled Estimator When the Time Series Equation Is One of a Complete System (Ghazal Amer and William Mikhail); Monetary, Labor, Environmental and Other Econometric Applications: Monetary Policy and the Role of the Exchange Rate in Egypt (Tarek Morsi and Mai El-Mossallamy); International Migration, Remittances and Household Poverty Status in Egypt (Rania Roushdy, Ragui Assaad and Ali Rashed); Determinants of Job Quality and Wages of the Working Poor: Evidence From 1998OCo2006 Egypt Labor Market Panel Survey (Mona Said); A Contract-Theoretic Model of Conservation Agreements (Heidi Gjertsen, Theodore Groves, David A Miller, Eduard Niesten, Dale Squires and Joel Watson); Household Environment and Child Health in Egypt (Mahmoud Hailat and Franco Peracchi); Modeling the Relationship between Natural Resource Abundance, Economic Growth, and the Environment: A Cross-Country Study (Hala Abou-Ali and Yasmine M Abdelfattah); Global Cement Industry: Competitive and Institutional Frameworks (Tarek H Selim and Ahmed S Salem); On the Occurrence of Ponzi Schemes in Presence of Credit Restrictions Penalizing Default (Abdelkrim Seghir); Is Targeted Advertising Always Beneficial? (Nada Ben Elhadj-Ben Brahim, Rim Lahmandi-Ayed and Didier Laussel). Readership: Graduate students and researchers in the fields of econometrics, economic theory, applied econometrics.

Recent Econometric Techniques for Macroeconomic and Financial Data

Gilles Dufrénot,Takashi Matsuki
Recent Econometric Techniques for Macroeconomic and Financial Data Book PDF

Author : Gilles Dufrénot,Takashi Matsuki
Publisher : Springer Nature
Page : 387 pages
File Size : 44,5 Mb
Release : 2020-11-21
Category : Business & Economics
ISBN : 9783030542528

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Recent Econometric Techniques for Macroeconomic and Financial Data by Gilles Dufrénot,Takashi Matsuki Pdf

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.

Econometric Methods with Applications in Business and Economics

Christiaan Heij,Paul de Boer,Philip Hans Franses,Teun Kloek,Herman K. van Dijk,All at the Erasmus University in Rotterdam
Econometric Methods with Applications in Business and Economics Book PDF

Author : Christiaan Heij,Paul de Boer,Philip Hans Franses,Teun Kloek,Herman K. van Dijk,All at the Erasmus University in Rotterdam
Publisher : OUP Oxford
Page : 816 pages
File Size : 41,6 Mb
Release : 2004-03-25
Category : Business & Economics
ISBN : 9780191608407

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Econometric Methods with Applications in Business and Economics by Christiaan Heij,Paul de Boer,Philip Hans Franses,Teun Kloek,Herman K. van Dijk,All at the Erasmus University in Rotterdam Pdf

Nowadays applied work in business and economics requires a solid understanding of econometric methods to support decision-making. Combining a solid exposition of econometric methods with an application-oriented approach, this rigorous textbook provides students with a working understanding and hands-on experience of current econometrics. Taking a 'learning by doing' approach, it covers basic econometric methods (statistics, simple and multiple regression, nonlinear regression, maximum likelihood, and generalized method of moments), and addresses the creative process of model building with due attention to diagnostic testing and model improvement. Its last part is devoted to two major application areas: the econometrics of choice data (logit and probit, multinomial and ordered choice, truncated and censored data, and duration data) and the econometrics of time series data (univariate time series, trends, volatility, vector autoregressions, and a brief discussion of SUR models, panel data, and simultaneous equations). · Real-world text examples and practical exercise questions stimulate active learning and show how econometrics can solve practical questions in modern business and economic management. · Focuses on the core of econometrics, regression, and covers two major advanced topics, choice data with applications in marketing and micro-economics, and time series data with applications in finance and macro-economics. · Learning-support features include concise, manageable sections of text, frequent cross-references to related and background material, summaries, computational schemes, keyword lists, suggested further reading, exercise sets, and online data sets and solutions. · Derivations and theory exercises are clearly marked for students in advanced courses. This textbook is perfect for advanced undergraduate students, new graduate students, and applied researchers in econometrics, business, and economics, and for researchers in other fields that draw on modern applied econometrics.

Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics

Burcu Adıgüzel Mercangöz
Handbook of Research on Emerging Theories Models and Applications of Financial Econometrics Book PDF

Author : Burcu Adıgüzel Mercangöz
Publisher : Springer Nature
Page : 465 pages
File Size : 40,8 Mb
Release : 2021-02-17
Category : Business & Economics
ISBN : 9783030541088

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Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics by Burcu Adıgüzel Mercangöz Pdf

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.

Applied Financial Econometrics

Moinak Maiti
Applied Financial Econometrics Book PDF

Author : Moinak Maiti
Publisher : Springer Nature
Page : 287 pages
File Size : 49,8 Mb
Release : 2021-08-31
Category : Business & Economics
ISBN : 9789811640636

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Applied Financial Econometrics by Moinak Maiti Pdf

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.

Financial, Macro and Micro Econometrics Using R

Hrishikesh D. Vinod
Financial Macro and Micro Econometrics Using R Book PDF

Author : Hrishikesh D. Vinod
Publisher : North Holland
Page : 350 pages
File Size : 46,8 Mb
Release : 2020-01-24
Category : Electronic
ISBN : 9780128202500

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Financial, Macro and Micro Econometrics Using R by Hrishikesh D. Vinod Pdf

Financial, Macro and Micro Econometrics Using R, Volume 42, provides state-of-the-art information on important topics in econometrics, including multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, financial market jumps and co-jumps, among other topics. Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society Includes descriptions and links to resources and free open source R Gives readers what they need to jumpstart their understanding on the state-of-the-art

Linear and Non-Linear Financial Econometrics

Mehmet Terzioğlu,Gordana Djurovic,Martin Bojaj
Linear and Non Linear Financial Econometrics Book PDF

Author : Mehmet Terzioğlu,Gordana Djurovic,Martin Bojaj
Publisher : BoD – Books on Demand
Page : 339 pages
File Size : 43,5 Mb
Release : 2021-03-17
Category : Business & Economics
ISBN : 9781839624865

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Linear and Non-Linear Financial Econometrics by Mehmet Terzioğlu,Gordana Djurovic,Martin Bojaj Pdf

The importance of experimental economics and econometric methods increases with each passing day as data quality and software performance develops. New econometric models are developed by diverging from earlier cliché econometric models with the emergence of specialized fields of study. This book, which is expected to be an extensive and useful reference by bringing together some of the latest developments in the field of econometrics, also contains quantitative examples and problem sets. We thank all the authors who contributed to this book with their studies that provide extensive and accessible explanations of the existing econometric methods.

Financial Econometrics

Christian Gourieroux,Joann Jasiak
Financial Econometrics Book PDF

Author : Christian Gourieroux,Joann Jasiak
Publisher : Princeton University Press
Page : 528 pages
File Size : 40,6 Mb
Release : 2022-12-13
Category : Business & Economics
ISBN : 9780691242361

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Financial Econometrics by Christian Gourieroux,Joann Jasiak Pdf

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.

Financial Economics and Econometrics

Nikiforos T. Laopodis
Financial Economics and Econometrics Book PDF

Author : Nikiforos T. Laopodis
Publisher : Routledge
Page : 787 pages
File Size : 55,6 Mb
Release : 2021-12-14
Category : Business & Economics
ISBN : 9781000506082

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Financial Economics and Econometrics by Nikiforos T. Laopodis Pdf

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.

Time Series Models

D.R. Cox,D.V. Hinkley,O.E. Barndorff-Nielsen
Time Series Models Book PDF

Author : D.R. Cox,D.V. Hinkley,O.E. Barndorff-Nielsen
Publisher : CRC Press
Page : 244 pages
File Size : 47,7 Mb
Release : 1996-05-15
Category : Mathematics
ISBN : 041272930X

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Time Series Models by D.R. Cox,D.V. Hinkley,O.E. Barndorff-Nielsen Pdf

The analysis prediction and interpolation of economic and other time series has a long history and many applications. Major new developments are taking place, driven partly by the need to analyze financial data. The five papers in this book describe those new developments from various viewpoints and are intended to be an introduction accessible to readers from a range of backgrounds. The book arises out of the second Seminaire European de Statistique (SEMSTAT) held in Oxford in December 1994. This brought together young statisticians from across Europe, and a series of introductory lectures were given on topics at the forefront of current research activity. The lectures form the basis for the five papers contained in the book. The papers by Shephard and Johansen deal respectively with time series models for volatility, i.e. variance heterogeneity, and with cointegration. Clements and Hendry analyze the nature of prediction errors. A complementary review paper by Laird gives a biometrical view of the analysis of short time series. Finally Astrup and Nielsen give a mathematical introduction to the study of option pricing. Whilst the book draws its primary motivation from financial series and from multivariate econometric modelling, the applications are potentially much broader.

Handbook of Financial Econometrics

Yacine Ait-Sahalia,Lars Peter Hansen
Handbook of Financial Econometrics Book PDF

Author : Yacine Ait-Sahalia,Lars Peter Hansen
Publisher : Elsevier
Page : 384 pages
File Size : 49,8 Mb
Release : 2009-10-21
Category : Business & Economics
ISBN : 0444535497

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Handbook of Financial Econometrics by Yacine Ait-Sahalia,Lars Peter Hansen Pdf

Applied financial econometrics subjects are featured in this second volume, with papers that survey important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. A landmark in its coverage, this volume should propel financial econometric research for years. Presents a broad survey of current research Contributors are leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections

Handbook of Research Methods and Applications in Empirical Finance

Adrian R. Bell,Chris Brooks,Marcel Prokopczuk
Handbook of Research Methods and Applications in Empirical Finance Book PDF

Author : Adrian R. Bell,Chris Brooks,Marcel Prokopczuk
Publisher : Edward Elgar Publishing
Page : 494 pages
File Size : 49,9 Mb
Release : 2013-01-01
Category : Business & Economics
ISBN : 9780857936097

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Handbook of Research Methods and Applications in Empirical Finance by Adrian R. Bell,Chris Brooks,Marcel Prokopczuk Pdf

This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered. The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.

Panel Methods for Finance

Marno Verbeek
Panel Methods for Finance Book PDF

Author : Marno Verbeek
Publisher : Walter de Gruyter GmbH & Co KG
Page : 284 pages
File Size : 44,5 Mb
Release : 2021-10-25
Category : Business & Economics
ISBN : 9783110660814

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Panel Methods for Finance by Marno Verbeek Pdf

Financial data are typically characterised by a time-series and cross-sectional dimension. 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 an overview of commonly applied panel methods for financial applications, including popular techniques such as Fama-MacBeth estimation, one-way, two-way and interactive fixed effects, clustered standard errors, instrumental variables, and difference-in-differences. Panel Methods for Finance: A Guide to Panel Data Econometrics for Financial Applications by Marno Verbeek offers the reader: Focus on panel methods where the time dimension is relatively small A clear and intuitive exposition, with a focus on implementation and practical relevance Concise presentation, with many references to financial applications and other sources Focus on techniques that are relevant for and popular in empirical work in finance and accounting Critical discussion of key assumptions, robustness, and other issues related to practical implementation

Empirical Techniques in Finance

Ramaprasad Bhar,Shigeyuki Hamori
Empirical Techniques in Finance Book PDF

Author : Ramaprasad Bhar,Shigeyuki Hamori
Publisher : Springer
Page : 243 pages
File Size : 42,5 Mb
Release : 2010-10-21
Category : Business & Economics
ISBN : 3642064175

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Empirical Techniques in Finance by Ramaprasad Bhar,Shigeyuki Hamori Pdf

Includes traditional elements of financial econometrics but is not yet another volume in econometrics. Discusses statistical and probability techniques commonly used in quantitative finance. The reader will be able to explore more complex structures without getting inundated with the underlying mathematics.