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
Effect of Dividend Policy on Share Price Performance: A Case of Listed Insurance Companies at the Nairobi Securities Exchange, Kenya
TL;DR: In this paper, the effect of dividend policy on share price performance of insurance companies listed at the Nairobi Securities Exchange (NSE) was determined by the following objectives: to determine the impact of dividend payout on share prices performance of the listed insurance companies.
Dissertation
Foreign trade and economic growth in Namibia : a time series analysis
TL;DR: In this article, the authors present a table of contents for OPSOMMING, including table of contents, table of tables, list of columns, and table of columns.
Journal ArticleDOI
Comparing simulation models for market risk stress testing
TL;DR: A comparison of six simulation-based stress models for foreign exchange positions finds that while volatility-weighted historical simulation is the best model for volatility persistence, jump diffusion based Monte Carlo simulation is better at capturing correlation breakdown.
Journal ArticleDOI
The long-run analysis of monetary policy transmission channels on inflation: a VECM approach
TL;DR: In this article, the effectiveness of monetary policy transmission channels in restraining inflation in case of Vietnam for 2001-2015 was analyzed using the use of a vector error correction model, which yields evidence that credit growth is the key determinant of high inflation.
Proceedings ArticleDOI
Fundamental Analysis Vs Technical Analysis in The Egyptian Stock Exchange - Empirical Study
TL;DR: In this article, the authors tried to answer the following question: which of the analysis methods i.e. technical analysis or fundamental analysis has more credibility in forecasting the value (prices & returns) of the share?
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.