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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.

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Dissertation

Seasoned equity offerings in an emerging market: evidence from Thailand.

TL;DR: In this paper, a more recent data set and a larger sample size than previous Thai studies, the authors examined the performance of SEO firms between 1999 and 2006, and found that the stock prices react negatively to SEO announcements.
Journal ArticleDOI

Extracting the sovereigns’ CDS market hierarchy: A correlation-filtering approach

TL;DR: This article employed correlation-into-distance mapping techniques and a minimal spanning tree-based correlation-filtering methodology on 36 sovereign CDS spread time-series in order to identify the sovereigns' informational hierarchy.
Journal ArticleDOI

Applying singular spectrum analysis and arima-garch for forecasting eur/usd exchange rate

TL;DR: In this article, a minute series of exchange rates for the EUR/USD pair using the singular spectrum analysis (SSA) and ARIMA-GARCH methods and evaluate which one offers better forecasts for a five-minute horizon.
Journal Article

The Causal Link between Foreign Direct Investment, GDP Growth, Domestic Investment and Export for Kenya: The New Evidence

TL;DR: In this paper, the causality relationship between FDI, export, domestic investment and GDP growth of Kenya from the year 1980 to 2013 is examined by using co integration and Granger causality test.

Energy consumption and income in six Asian developing countries: a multivariate cointegration analysis

TL;DR: In this article, the authors examined the short and long-run causal relationship between energy consumption and GDP of six emerging economies of Asia based on cointegration and vector error correction modeling.
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

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

Halbert White
- 01 May 1980 - 
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.
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