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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
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Posted Content
The day of the week effects in Indonesia, Singapore, and Malaysia stock market
TL;DR: In this article, the authors used AR-EGARCH econometric models to answer their objective and found that there is positive abnormal return on Friday in Indonesia and Malaysia, however, there is no Friday positive abnormality return in Singapore.
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Long-run drivers and short-term dynamics of Swedish real house prices
TL;DR: In this paper, the authors assess the long-run drivers and short-term dynamics of real house prices in Sweden for 1986Q1 to 2016Q4 and examine the extent to which real ho...
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Response of the Nigerian construction sector to economic shocks
TL;DR: In this paper, the authors investigated the impact of economic shocks (measured with the Gross Domestic Product (GDP)) on construction sector performance and concluded that the construction sector significantly responded to economic shocks in both the short and long run.
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The impact of Capital Markets on the Economic Growth in South Africa
TL;DR: In this paper, the authors investigated the impact of capital markets on economic growth in South Africa from 1971-2013 and found that there is a positive relationship between economic growth and capital markets.
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Growth Constraints and Determinants of a South Pacific Island in a Global Economy: A Study of Fiji
TL;DR: In this paper, the authors investigated whether Fiji benefited from three-decade old open trade policies through a multivariate cointegration analysis, and established the existence of a long-run relationship between open trade policy and physical and human capital resources.
References
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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.
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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.