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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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Self-exploitation or successful entrepreneurship? The effects of personal capital on variable outcomes from self-employment
TL;DR: In this paper, the authors investigated whether the personal capital of the entrepreneur positively or negatively affects outcomes from self-employment and found that entrepreneurs with higher levels of personal capital enjoyed higher incomes.
Posted Content
Volatility Forecasts for the Mexican Peso - U.S. Dollar Exchange Rate: An Empirical Analysis of GARCH, Option Implied and Composite Forecast Models *
TL;DR: In this article, the volatility accuracy of several volatility forecast models is examined for the case of daily spot returns for the Mexican peso -US Dollar exchange rate. And the results show that the composite volatility forecasts are superior to the other models in terms of mean squared errors.
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Determinants of Trade Credit Demand and Supply in the Tanzanian Rice Market: A Structural Modelling Approach
TL;DR: In this paper, the determinants of trade credit demand and supply in the Tanzanian rice market were analyzed using data from individual trade transactions between rice wholesalers and rice retailers.
Journal Article
Stock Liquidity Determination Evidence from Amman Stock Exchange
TL;DR: In this article, the authors investigate and examine the factors affecting stocks liquidity by using data of 100 share holding companies that represent Amman Stock Exchange (ASE) index in the recent period from 2011 to 2013.
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Futures market efficiency and effectiveness of hedge in Indian currency market
Varuna Kharbanda,Archana Singh +1 more
TL;DR: In this paper, the authors evaluate the effectiveness of hedging by US currency futures contracts by taking into account the efficiency of the currency market and the cointegration of the market variables which indicate short-run market disequilibrium.
References
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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.