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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
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Dissertation
Determinants of inflation in South Africa: an empirical investigation
TL;DR: This paper investigated the determinants of inflation in South Africa using quarterly data from 1970Q1 to 2015Q4 and found that inflation expectations, labour costs, government expenditure and import prices are positive determinants, while GDP and exchange rates are negative determinants.
Journal ArticleDOI
Forecasting regime switches to assist decision making
TL;DR: In this paper, a model is proposed to formulate the relationships from in-sample observations, including regime switch relationships, and then the model uses the relationships to forecast the regime switches in outsample observations.
Book
Corporate Governance, Firm Performance, and Information Leakage: an Empirical Analysis of the Chinese Stock Market
TL;DR: Wang et al. as discussed by the authors analyzed the effect of corporate governance on firm performance and information leakage in the Chinese securities market and found that the ownership structure of Chinese companies will affect their firm performance.
Journal Article
Are the sovereign CDS premia sound estimators of the stock market returns? : evidence from the Eurozone
TL;DR: In this article, the authors explore the interconnection and existing relationships between the Sovereign Credit Default Swaps (henceforth, CDS) and the stock markets of the main European countries.
Journal ArticleDOI
The Adaptive Market Hypothesis and the Day‑of‑the‑Week Effect in African Stock Markets: the Markov Switching Model
TL;DR: In this article, the authors investigate how the day-of-the-week (DOW) effect behaves under different bull and bear market conditions in African stock markets, and examine the likelihood of being in a bull or bear regime for each market.
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.