Financial Microeconometrics

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Financial Microeconometrics

Marek Gruszczyński
Financial Microeconometrics Book PDF

Author : Marek Gruszczyński
Publisher : Springer
Page : 215 pages
File Size : 53,5 Mb
Release : 2020-12-06
Category : Business & Economics
ISBN : 3030342212

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Financial Microeconometrics by Marek Gruszczyński Pdf

This book explores new topics in modern research on empirical corporate finance and applied accounting, especially the econometric analysis of microdata. Dubbed “financial microeconometrics” by the author, this concept unites both methodological and applied approaches. The book examines how quantitative methods can be applied in corporate finance and accounting research in order to predict companies getting into financial distress. Presented in a clear and straightforward manner, it also suggests methods for linking corporate governance to financial performance, and discusses what the determinants of accounting disclosures are. Exploring these questions by way of numerous practical examples, this book is intended for researchers, practitioners and students who are not yet familiar with the variety of approaches available for data analysis and microeconometrics. “This book on financial microeconometrics is an excellent starting point for research in corporate finance and accounting. In my view, the text is positioned between a narrative and a scientific treatise. It is based on a vast amount of literature but is not overloaded with formulae. My appreciation of financial microeconometrics has very much increased. The book is well organized and properly written. I enjoyed reading it.” Wolfgang Marty, Senior Investment Strategist, AgaNola AG

Introductory Econometrics for Finance

Chris Brooks
Introductory Econometrics for Finance Book PDF

Author : Chris Brooks
Publisher : Cambridge University Press
Page : 583 pages
File Size : 41,7 Mb
Release : 2008-05-22
Category : Business & Economics
ISBN : 9781139472302

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Introductory Econometrics for Finance by Chris Brooks Pdf

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.

The Econometrics of Financial Markets

John Y. Campbell,Andrew W. Lo,A. Craig MacKinlay
The Econometrics of Financial Markets Book PDF

Author : John Y. Campbell,Andrew W. Lo,A. Craig MacKinlay
Publisher : Princeton University Press
Page : 630 pages
File Size : 51,8 Mb
Release : 2012-06-28
Category : Business & Economics
ISBN : 9781400830213

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The Econometrics of Financial Markets by John Y. Campbell,Andrew W. Lo,A. Craig MacKinlay Pdf

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, 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

Oliver Linton
Financial Econometrics Book PDF

Author : Oliver Linton
Publisher : Cambridge University Press
Page : 585 pages
File Size : 54,5 Mb
Release : 2019-02-21
Category : Business & Economics
ISBN : 9781107177154

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Financial Econometrics by Oliver Linton Pdf

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

Financial Economics and Econometrics

Nikiforos T. Laopodis
Financial Economics and Econometrics Book PDF

Author : Nikiforos T. Laopodis
Publisher : Routledge
Page : 787 pages
File Size : 43,8 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.

Microeconometrics

A. Colin Cameron,Pravin K. Trivedi
Microeconometrics Book PDF

Author : A. Colin Cameron,Pravin K. Trivedi
Publisher : Cambridge University Press
Page : 128 pages
File Size : 53,5 Mb
Release : 2005-05-09
Category : Business & Economics
ISBN : 9781139444866

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Microeconometrics by A. Colin Cameron,Pravin K. Trivedi Pdf

This book provides the most comprehensive treatment to date of microeconometrics, the analysis of individual-level data on the economic behavior of individuals or firms using regression methods for cross section and panel data. The book is oriented to the practitioner. A basic understanding of the linear regression model with matrix algebra is assumed. The text can be used for a microeconometrics course, typically a second-year economics PhD course; for data-oriented applied microeconometrics field courses; and as a reference work for graduate students and applied researchers who wish to fill in gaps in their toolkit. Distinguishing features of the book include emphasis on nonlinear models and robust inference, simulation-based estimation, and problems of complex survey data. The book makes frequent use of numerical examples based on generated data to illustrate the key models and methods. More substantially, it systematically integrates into the text empirical illustrations based on seven large and exceptionally rich data sets.

Financial Econometrics

Peijie Wang
Financial Econometrics Book PDF

Author : Peijie Wang
Publisher : Routledge
Page : 336 pages
File Size : 49,6 Mb
Release : 2008-09-19
Category : Business & Economics
ISBN : 9781134091454

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Financial Econometrics by Peijie Wang Pdf

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

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 : 808 pages
File Size : 43,5 Mb
Release : 2009-10-19
Category : Business & Economics
ISBN : 0080929842

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

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

Financial Econometrics

Svetlozar T. Rachev,Stefan Mittnik,Frank J. Fabozzi,Sergio M. Focardi,Teo Jašić
Financial Econometrics Book PDF

Author : Svetlozar T. Rachev,Stefan Mittnik,Frank J. Fabozzi,Sergio M. Focardi,Teo Jašić
Publisher : John Wiley & Sons
Page : 560 pages
File Size : 53,8 Mb
Release : 2007-03-22
Category : Business & Economics
ISBN : 9780470121528

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Financial Econometrics by Svetlozar T. Rachev,Stefan Mittnik,Frank J. Fabozzi,Sergio M. Focardi,Teo Jašić Pdf

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.

High-Frequency Financial Econometrics

Yacine Aït-Sahalia,Jean Jacod
High Frequency Financial Econometrics Book PDF

Author : Yacine Aït-Sahalia,Jean Jacod
Publisher : Princeton University Press
Page : 683 pages
File Size : 49,7 Mb
Release : 2014-07-21
Category : Business & Economics
ISBN : 9780691161433

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High-Frequency Financial Econometrics by Yacine Aït-Sahalia,Jean Jacod Pdf

A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.

The Basics of Financial Econometrics

Frank J. Fabozzi,Sergio M. Focardi,Svetlozar T. Rachev,Bala G. Arshanapalli
The Basics of Financial Econometrics Book PDF

Author : Frank J. Fabozzi,Sergio M. Focardi,Svetlozar T. Rachev,Bala G. Arshanapalli
Publisher : John Wiley & Sons
Page : 448 pages
File Size : 54,8 Mb
Release : 2014-03-04
Category : Business & Economics
ISBN : 9781118727232

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The Basics of Financial Econometrics by Frank J. Fabozzi,Sergio M. Focardi,Svetlozar T. Rachev,Bala G. Arshanapalli Pdf

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.

Financial Microeconometrics

Marek Gruszczyński
Financial Microeconometrics Book PDF

Author : Marek Gruszczyński
Publisher : Springer Nature
Page : 228 pages
File Size : 50,5 Mb
Release : 2019-11-23
Category : Business & Economics
ISBN : 9783030342197

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Financial Microeconometrics by Marek Gruszczyński Pdf

This book explores new topics in modern research on empirical corporate finance and applied accounting, especially the econometric analysis of microdata. Dubbed “financial microeconometrics” by the author, this concept unites both methodological and applied approaches. The book examines how quantitative methods can be applied in corporate finance and accounting research in order to predict companies getting into financial distress. Presented in a clear and straightforward manner, it also suggests methods for linking corporate governance to financial performance, and discusses what the determinants of accounting disclosures are. Exploring these questions by way of numerous practical examples, this book is intended for researchers, practitioners and students who are not yet familiar with the variety of approaches available for data analysis and microeconometrics. “This book on financial microeconometrics is an excellent starting point for research in corporate finance and accounting. In my view, the text is positioned between a narrative and a scientific treatise. It is based on a vast amount of literature but is not overloaded with formulae. My appreciation of financial microeconometrics has very much increased. The book is well organized and properly written. I enjoyed reading it.” Wolfgang Marty, Senior Investment Strategist, AgaNola AG

Econometrics of Financial High-Frequency Data

Nikolaus Hautsch
Econometrics of Financial High Frequency Data Book PDF

Author : Nikolaus Hautsch
Publisher : Springer Science & Business Media
Page : 374 pages
File Size : 46,5 Mb
Release : 2011-10-12
Category : Business & Economics
ISBN : 9783642219252

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Econometrics of Financial High-Frequency Data by Nikolaus Hautsch Pdf

The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.

Financial Econometrics

Yiu-Kuen Tse
Financial Econometrics Book PDF

Author : Yiu-Kuen Tse
Publisher : MDPI
Page : 136 pages
File Size : 48,8 Mb
Release : 2019-10-14
Category : Business & Economics
ISBN : 9783039216260

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Financial Econometrics by Yiu-Kuen Tse Pdf

Financial econometrics has developed into a very fruitful and vibrant research area in the last two decades. The availability of good data promotes research in this area, specially aided by online data and high-frequency data. These two characteristics of financial data also create challenges for researchers that are different from classical macro-econometric and micro-econometric problems. This Special Issue is dedicated to research topics that are relevant for analyzing financial data. We have gathered six articles under this theme.

Data Science for Financial Econometrics

Nguyen Ngoc Thach,Vladik Kreinovich,Nguyen Duc Trung
Data Science for Financial Econometrics Book PDF

Author : Nguyen Ngoc Thach,Vladik Kreinovich,Nguyen Duc Trung
Publisher : Springer Nature
Page : 633 pages
File Size : 50,6 Mb
Release : 2020-11-13
Category : Computers
ISBN : 9783030488536

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Data Science for Financial Econometrics by Nguyen Ngoc Thach,Vladik Kreinovich,Nguyen Duc Trung Pdf

This book offers an overview of state-of-the-art econometric techniques, with a special emphasis on financial econometrics. There is a major need for such techniques, since the traditional way of designing mathematical models – based on researchers’ insights – can no longer keep pace with the ever-increasing data flow. To catch up, many application areas have begun relying on data science, i.e., on techniques for extracting models from data, such as data mining, machine learning, and innovative statistics. In terms of capitalizing on data science, many application areas are way ahead of economics. To close this gap, the book provides examples of how data science techniques can be used in economics. Corresponding techniques range from almost traditional statistics to promising novel ideas such as quantum econometrics. Given its scope, the book will appeal to students and researchers interested in state-of-the-art developments, and to practitioners interested in using data science techniques.