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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 ArticleDOI
Green Real Estate: Does It Create Value? Financial and Sustainability Analysis on European Green REITs
TL;DR: In this article, the authors demonstrate the degree of correlation between the adoption of implemented sustainable policies and financial performance and validate the hypothesis, which states that sustainable and environmentally friendly components positively affect the performances of investment portfolios, focusing on the European property management industry.
Dissertation
Impact of Working Capital Management on Firms’ Performance: The Case of Selected Metal Manufacturing Companies in Addis Ababa, Ethiopia
TL;DR: In this article, the authors present a list of figures, tables, acronyms, and acronyms for the first chapter of the book "Acknowledgements and acknowledgements".
Dissertation
Modelling local government financial conditions in Indonesia
TL;DR: In this article, the authors developed an instrument to measure the financial condition of local governments in Indonesia and, secondly, to determine factors affecting the variation in local government financial condition, which can be used to monitor the soundness of local government in managing finance.
Journal ArticleDOI
Emissões públicas de ações, volatilidade e insider information na Bovespa
TL;DR: In this paper, a trabalho utiliza a metodologia convencional de mensuracao de retornos anormais por OLS, for instance, for a set of emissoes publicas by empresas brasileiras listadas in BOVESPA, realizadas entre 1992 and 2002.
Book ChapterDOI
Forecasting Using Elman Recurrent Neural Network
TL;DR: This research proposed Elman Recurrent Neural Network (ERNN) to forecast the Mackey-Glass time series elements and experimental results show that this scheme outperforms other state-of-art studies.
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.