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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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Journal Article
The Impact of Capital Structure on Financial Performance of Commercial Banks in Ethiopia
TL;DR: In this paper, the impact of capital structure on financial performance of selected commercial banks in Ethiopia over the past five (5) year period from 2011 to 2015 using secondary data collected from financial statements of the commercial banks.
Modeling and forecasting implied volatility
TL;DR: In this paper, the authors used a two-regime multiplicative error model for the implied volatility of options on the Nikkei 225 index to predict the direction of change in the VIX on over 58 percent of trading days in an out-of-sample period of five years.
The pricing of earnings : essays on the post-earnings announcement drift and earnings quality risk
TL;DR: In this paper, the authors investigated the relationship between accounting earnings and stock prices and found that Swedish investors demand a higher expected return for firms with poor earnings quality, i.e. firms associated with higher information risk.
Journal ArticleDOI
Volatility spillovers to the emerging financial markets during taper talk and actual tapering
Saurabh Ghosh,Mridul Saggar +1 more
TL;DR: In this article, the authors present formal empirical evidence establishing that conditional volatility during taper talk exceeded that during actual tapering and volatility spillovers took place "contemporaneously" from the US markets to the key EMEs during this period.
Book ChapterDOI
Does Herding Behaviour Among Traders Increase During Covid 19 Pandemic? Evidence from the Cryptocurrency Market
TL;DR: In this article, the authors examined the herding behavior in cryptocurrency market during the pre Covid 19 and Covid19 pandemic period using the cross-Sectional Standard Deviation (CSSD) approach.
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.
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.