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
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Predictive Accuracy of Futures Options Implied Volatility: The Case of the Exchange Rate Futures Mexican Peso-U.S. Dollar
TL;DR: In this paper, the authors examined the volatility accuracy of several volatility forecast models for the case of the Mexican peso-USD exchange rate futures returns, including a univariate GARCH, a multivariate ARCH, two option implied volatility models and a composite forecast model.
Leverage and Volatility
TL;DR: In this article, the importance of leverage in explaining equity return volatility is determined through two fixed effects panel data estimations, which leads into the implementation of a VAR-approach in a panel data setting.
Journal ArticleDOI
Capital liberalization and various financial markets: Evidence from Taiwan
Manhwa Wu,Paoyu Huang,Yensen Ni +2 more
TL;DR: In this article, the authors investigated whether various financial markets in a small-scale economy, such as Taiwan, have been affected by capital liberalization in 2003, which is rarely explored comprehensively in the existing literature.
Posted Content
Modelling Monthly International Tourist Arrivals and Its Risk in Nepal
TL;DR: In this article, the authors explored the risk associated in the Nepalese tourism industry taking account of monthly international tourist arrivals and showed that the long run risk or volatility is persistence in monthly international tourists arrivals and estimated coefficients are statistically significant.
Utilização de análise multivariada na avaliação do desempenho econômico-financeiro de curto prazo: uma aplicação no setor de distribuição de energia elétrica
Paulo Roberto Clemente Marques Bomfim,Rodrigo Santana de Almeida,Verônica Andréa Lima Gouveia,Marcelo Alvaro da Silva Macedo,José Augusto Veiga da Costa Marques +4 more
TL;DR: A pesquisa foi desenvolvida com a coleta de indicadores economico-financeiros das 43 distribuidoras de energia eletrica disponiveis no livro Series Economico-Financeiras das Empresas do Setor de Energia Eletrica (Series 2009), sendo classificada como exploratoria, quantitativa e ex post facto, with a utilizacao do metodo estatistico (analise fatorial e anal
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.