Open AccessPosted Content
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
More filters
Journal ArticleDOI
The Contribution of ESG Information to the Financial Stability of European Banks
TL;DR: In this article, the authors investigated the relationship between financial stability and ESG performance and found that the economic, social, and governance performance of banks had beneficial impacts on financial stability.
Journal Article
Forecasting Volatility of Returns for Corn using GARCH Models
TL;DR: In this article, the authors used non-linear models from the GARCH family, specifically TGARCH and EGARCH, to assess the role of asymmetries and to analyze the time varying volatility of corn futures prices.
Dissertation
Forecasting exchange rates : an empirical investigation of advanced, emerging and frontier market economies
TL;DR: In this paper, the authors investigated the application of different forecasting methods to predict the exchange rates of advanced, emerging and frontier market economies using the International Monetary Fund (IMF) data.
Dissertation
Do IFRS adoption, financial analysts and earnings quality affect the informativeness of stock price?Evidence from the UK
TL;DR: In this article, the authors examined whether the mandatory adoption of International Financial Reporting Standards (IFRS) affects stock price informativeness, as measured by the extent to which firm-specific information is capitalised into the stock price.
Journal ArticleDOI
Causal inference between cryptocurrency narratives and prices: Evidence from a complex dynamic ecosystem
TL;DR: In this paper, the causal relationship between narratives propagated by the media and crypto prices is explored, and the authors reveal four cryptocurrency-related narratives: investment, technological innovation, security breaches and regulation.
References
More filters
Journal ArticleDOI
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.
Journal ArticleDOI
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).
Journal ArticleDOI
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.