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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
A quantitative approach for modelling the influence of currency of information on decision-making under uncertainty
Bernd Heinrich,Diana Hristova +1 more
TL;DR: A quantitative approach for modelling the influence of currency on decision-making by extending the normative concept of the value of information is proposed and demonstrated by applying it to two real-world scenarios from the field of sales management in customer relationship management.
Journal ArticleDOI
Relevância e representação fidedigna na mensuração de ativos biológicos a valor justo por empresas listadas na BM&FBovespa
TL;DR: In this paper, the authors analyzed whether accounting information relating to biological assets, measured at fair value, has value relevance and show evidence of faithful representation and concluded that both biological assets measured at Fair value, presented as values relevant to the market, are perceived by the market as conservative information.
Dissertation
Moral Sentiment: Investigating the Roles of Ethics and Affect in Determining Asset Returns
Dissertation
Asset and liability management: modelo de otimização estocástica aplicável às entidades fechadas de previdência complementar brasileiras
TL;DR: In this paper, the authors developed and applied, through a linear stochastic programming technique, an ALM model to optimize investment portfolios, empirically recommending a management strategy for the pension plans of Brazilian private pension funds over a five year horizon.
Financial and operational hedging of exposure to foreign exchange risk: a GCC perspective
TL;DR: In this article, the authors take the perspective of a domestic firm that is exposed to foreign currencies (such as the GBP, CHF, and JPY) operating in a member country of the Gulf Co-operation Council (GCC).
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.