scispace - formally typeset
Open AccessPosted Content

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
More filters
Journal ArticleDOI

Long Live Day of the Week Patterns and the Financial Trends’ Role. Evidence from the Greek Stock Market during the Euro Era (2002-12).

TL;DR: In this article, the authors examined if the long-term financial trends influence not only a stock market's returns, but also the day of the week pattern (DOW) in Greece.
Journal ArticleDOI

Markov Switching Artificial Neural Networks and Volatility Modeling with an Application to a Turkish Stock Index

TL;DR: Results suggest models with markov switching and neural network methodologies in modeling volatility in forecasting future returns in an emerging market stock index provide significant forecast and modeling performance.
Journal ArticleDOI

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

TL;DR: In this paper, the authors investigated factors affecting Vietnam's stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices, and found that Vietnam stock prices are influenced by crude oil price.

Herding and Positive Feedback Trading in the Portuguese Stock Exchange: An Exploratory Investigation

Abstract: The heterogeneity inherent in the composition of the investors’ population is a factor conducive to the complexity of the market. Heterogeneous backgrounds are expected to lead to divergence in investors’ decision-making. However, evidence suggests that the temporary convergence of beliefs and actions is a possibility. Our research attempts to address two aspects of this convergence, namely positive feedback trading (“trend-chasing”) and herding. Using data from the Portuguese PSI20 market index, we test for herding and positive feedback trading for the period since the inception of the index (January 1993). In line with Hwang and Salmon (2004), herding appears to be rising during periods of “definitive” market direction and exhibits descending tendencies during periods of market fluctuations. Results indicate the significance of herding and positive feedback trading towards the index, both of which appear to be experiencing a sharp rise between 1996 and 1999. This coincides with the Portuguese market’s “boom-bust” in the second half of the 1990’s. Durham Business School, Department of Economics and Finance, Durham University, 23/26 Old Elvet, Durham DH1 3HY, Tel: +44 (0)191 334 6340, Fax: +44 (0)191 334 6341 Corresponding author: Email: vasileios.kallinterakis@durham.ac.uk. 2 Universidade Catolica Portuguesa, Centro Regional do Porto, Rua Diogo Botelho, 1327, 4169-005 Porto Email: pferreira@porto.ucp.pt
References
More filters
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.
Related Papers (5)