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Introductory Econometrics for Finance
TLDR
The third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time as discussed by the authors.Abstract:
This bestselling and thoroughly classroom-tested textbook is a complete resource for finance students. A comprehensive and illustrated discussion of the most common empirical approaches in finance prepares students for using econometrics in practice, while detailed case studies help them understand how the techniques are used in relevant financial contexts. Worked examples from the latest version of the popular statistical software EViews guide students to implement their own models and interpret results. 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. Building on the successful data- and problem-driven approach of previous editions, this third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time. A companion website, with numerous student and instructor resources, completes the learning package.read more
Citations
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The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications
TL;DR: Econometrics has traditionally been the application of statistical methods to the building of models for economic policy and forecasting and for the empirical verification of economic theories as discussed by the authors, and it has been used in many applications.
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Corporate Social Responsibility and Financial Performance: The Case of ASEAN Telecommunications Companies
TL;DR: In this paper, the authors examined the relationship between corporate social responsibility and financial performance in ASEAN (The Association of Southeast Asian Nations) and found no significant relationship between the two.
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Mandatory Audit Partner Rotations and Audit Quality in the United States
TL;DR: In this article, the authors used a sample of mandatory partner rotation events hand-collected from SEC filings to investigate the relation between mandatory audit partner rotation and audit quality in the United States.
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Analysis of the Interactive Linkages Between Gold Prices, Oil Prices, and Exchange Rate in India
TL;DR: This paper investigated the co-movements and linkages among gold prices, oil prices, and Indian rupee-dollar exchange rates for the time span of 12 January 2004 to 30 April 2015 to investigate whether Indian economic policy makers should detach financial policies from energy policies.
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Interactions of stock markets within the greater China economic bloc
Seungwook Bahng,Seung‐Myo Shin +1 more
TL;DR: In this article, the authors investigated what types of mutual relationships exist among the stock markets of the Greater China economic bloc, which include stock markets in Hong Kong and Taiwan, as well as stock market in Shanghai and Shenzhen.
References
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A new look at the statistical model identification
TL;DR: In this article, a new estimate minimum information theoretical criterion estimate (MAICE) is introduced for the purpose of statistical identification, which is free from the ambiguities inherent in the application of conventional hypothesis testing procedure.
Estimating the dimension of a model
TL;DR: In this paper, the problem of selecting one of a number of models of different dimensions is treated by finding its Bayes solution, and evaluating the leading terms of its asymptotic expansion.
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The Pricing of Options and Corporate Liabilities
Fischer Black,Myron S. Scholes +1 more
TL;DR: In this paper, a theoretical valuation formula for options is derived, based on the assumption that options are correctly priced in the market and it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks.
Book
Econometric Analysis of Cross Section and Panel Data
TL;DR: This is the essential companion to Jeffrey Wooldridge's widely-used graduate text Econometric Analysis of Cross Section and Panel Data (MIT Press, 2001).
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A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
TL;DR: In this article, a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic is presented, which does not depend on a formal model of the structure of the heteroSkewedness.