Handbook Of Research On Emerging Theories Models And Applications Of Financial Econometrics

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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 : 42,8 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.

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 : Unknown
Page : 0 pages
File Size : 41,5 Mb
Release : 2021
Category : Electronic
ISBN : 3030541096

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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 : 44,8 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.

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 : 54,8 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

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 : 41,5 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.

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 : 50,6 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

Financial Economics and Econometrics

Nikiforos T. Laopodis
Financial Economics and Econometrics Book PDF

Author : Nikiforos T. Laopodis
Publisher : Routledge
Page : 787 pages
File Size : 42,7 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.

Empirical Economic and Financial Research

Jan Beran,Yuanhua Feng,Hartmut Hebbel
Empirical Economic and Financial Research Book PDF

Author : Jan Beran,Yuanhua Feng,Hartmut Hebbel
Publisher : Springer
Page : 503 pages
File Size : 45,5 Mb
Release : 2014-11-07
Category : Business & Economics
ISBN : 9783319031224

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Empirical Economic and Financial Research by Jan Beran,Yuanhua Feng,Hartmut Hebbel Pdf

The 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.

Recent Applications of Financial Risk Modelling and Portfolio Management

Škrinjari?, Tihana,?ižmešija, Mirjana,Christiansen, Bryan
Recent Applications of Financial Risk Modelling and Portfolio Management Book PDF

Author : Škrinjari?, Tihana,?ižmešija, Mirjana,Christiansen, Bryan
Publisher : IGI Global
Page : 432 pages
File Size : 42,6 Mb
Release : 2020-09-25
Category : Business & Economics
ISBN : 9781799850847

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Recent Applications of Financial Risk Modelling and Portfolio Management by Škrinjari?, Tihana,?ižmešija, Mirjana,Christiansen, Bryan Pdf

In today’s financial market, portfolio and risk management are facing an array of challenges. This is due to increasing levels of knowledge and data that are being made available that have caused a multitude of different investment models to be explored and implemented. Professionals and researchers in this field are in need of up-to-date research that analyzes these contemporary models of practice and keeps pace with the advancements being made within financial risk modelling and portfolio control. Recent Applications of Financial Risk Modelling and Portfolio Management is a pivotal reference source that provides vital research on the use of modern data analysis as well as quantitative methods for developing successful portfolio and risk management techniques. While highlighting topics such as credit scoring, investment strategies, and budgeting, this publication explores diverse models for achieving investment goals as well as improving upon traditional financial modelling methods. This book is ideally designed for researchers, financial analysts, executives, practitioners, policymakers, academicians, and students seeking current research on contemporary risk management strategies in the financial sector.

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 : 240 pages
File Size : 45,9 Mb
Release : 2020-11-26
Category : Mathematics
ISBN : 9781000109900

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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.

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 : 50,7 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

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.

Handbook of Research on Institutional, Economic, and Social Impacts of Globalization and Liberalization

Bayar, Yilmaz
Handbook of Research on Institutional Economic and Social Impacts of Globalization and Liberalization Book PDF

Author : Bayar, Yilmaz
Publisher : IGI Global
Page : 699 pages
File Size : 41,5 Mb
Release : 2020-11-06
Category : Political Science
ISBN : 9781799844600

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Handbook of Research on Institutional, Economic, and Social Impacts of Globalization and Liberalization by Bayar, Yilmaz Pdf

Globalization is a multi-dimensional concept reflecting the increased economic, social, cultural, and political integration of countries. There has been no pinpointed consensus on the history of globalization; however, the globalization process has gained significant speed as of the 1980s in combination with liberalization. Many countries have removed or loosened barriers over the international flows of goods, services, and production factors. In this context, both liberalization and globalization have led to considerable institutional, economic, social, cultural, and political changes in the world. The liberalization and globalization processes have affected economic units, institutions, cultures, social lives, and national and international politics. The Handbook of Research on Institutional, Economic, and Social Impacts of Globalization and Liberalization provides a comprehensive evaluation of the institutional, economic, and social impacts of globalization and liberalization processes across the world. While highlighting topics like economics, finance, business, and public administration, this book is ideally intended for government officials, policymakers, practitioners, stakeholders, researchers, and academicians interested in the international impacts of globalization and liberalization across a variety of different domains.

Financial, Macro and Micro Econometrics Using R

Anonim
Financial Macro and Micro Econometrics Using R Book PDF

Author : Anonim
Publisher : Elsevier
Page : 352 pages
File Size : 45,8 Mb
Release : 2020-01-25
Category : Mathematics
ISBN : 9780128202517

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Financial, Macro and Micro Econometrics Using R by Anonim 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

Financial Econometrics

Christian Gourieroux,Joann Jasiak
Financial Econometrics Book PDF

Author : Christian Gourieroux,Joann Jasiak
Publisher : Princeton University Press
Page : 529 pages
File Size : 53,8 Mb
Release : 2018-06-05
Category : Business & Economics
ISBN : 9780691187020

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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.