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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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Determinants and Effects of Voluntary Disclosure with a focus on Corporate Governance and Firm Performance: Evidence from Bangladesh
TL;DR: In this paper, the authors present a table of contents, including table of contents, table of attributes, list of figures, and list of abbreviations of ABBREVIATIONS.
Journal Article
Modelling Abrupt Shift in Time Series Using Indicator Variable: Evidence of Nigerian Insurance Stock
TL;DR: In this paper, seven symmetric and five asymmetric models were considered by incorporating an indicator variable in the variance equation to monitor the changes of some selected Nigerian insurance stocks, which showed that the daily returns were stationary but not normally distributed and eight out of ten stocks considered for the study showed evidence of ARCH effect.
Journal ArticleDOI
The impact of personality traits on attitude to financial risk
Chris Brooks,Louis Williams +1 more
TL;DR: This article examined the role of personality traits in determining financial risk tolerance and found that personality traits and characteristics are more important than emotions in determining attitude to risk, with significant roles for financial self-efficacy, resilience, and trait anger.
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Outreach and profitability trade-off : does synergy between Islamic banking and Islamic microfinance institutions matter?
TL;DR: In this paper, the effectiveness of linkage program between Islamic Banking (IB) and Baitul Maal Wat Tamwil (BMT) on BMT financing growth and profitability was examined.
Posted Content
Portfolio Risk Analysis using ARCH and GARCH Models in the Context of the Global Financial Crisis
TL;DR: In this paper, the authors examined both the benefits of choosing an internationally diversified portfolio and the evolution of the portfolio risk in the context of the current global financial crisis and showed that international diversification does not reduce risk.
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.
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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.