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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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Dynamic modelling of nonlinearities in the behaviour of labour market indicators in Ukraine and Poland
TL;DR: In this paper, the authors investigated the cyclical behavior of the Ukrainian and Polish labour markets, accompanied by significant nonlinear fluctuations in economic activity and the unemployment rate due to economic instability, dramatic internal disturbances of social environment and strong external shocks, and found that after a significant economic downturn, the recovery of the labour market recovers at a slower pace than the overall economic activity.
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Inflation, inflation uncertainty and growth in the Iranian economy: an application of BGARCH-M model with BEKK approach
TL;DR: In this paper, the authors investigated the relationship between inflation, economic growth and their respective uncertainties in Iran for the period of 1988-2008 by using quarterly data and employed a Bivariate Generalized Autoregressive Conditional Heteroskedasticity-in-Mean (BGARCH-M) model to examine in a unified empirical framework all the possible interactions between inflation uncertainty and growth in Iran.
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Exchange Rate Regime and Demand for Reserves: Evidence from Kenya, Mexico and Philippines
Taufiq Choudhry,Mohammad S Hasan +1 more
TL;DR: In this paper, the demand for international reserves (and foreign exchange reserves) during fixed and floating exchange rates periods in three developing countries: Kenya, Mexico and Philippines were empirically investigated using cointegration methodology and error correction method.
Book
Private Equity Investments: Drivers and Performance Implications of Investment Cycles
TL;DR: English)................................................................................................. XXV Abstract (German) as discussed by the authors Abstract(German).............................................................. XXVIIGerman)................................. XIX and XIX (English)
Journal Article
Pricing of Risk, Various Volatility Dynamics and Macroeconomic Exposure of Firm Returns: New Evidence on Age Effect
TL;DR: In this article, the role of age effect in detecting the risks-return tradeoff, various volatility dynamics and macroeconomic exposure of firm returns was investigated in Pakistani stock market for the period from 1998 to 2012.
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).
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.