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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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Journal ArticleDOI

Does interest rate and its volatility affect banking sector development? Empirical evidence from emerging market economies

TL;DR: In this article, the authors investigated the relationship between interest rate, interest rate volatility, and banking sector development in 12 emerging market economies located around the world and found that while interest rate has a positive impact on all banking sector indicators, this relationship weakens at higher interest levels.
Book ChapterDOI

Methods and Finance: A View from Outside

TL;DR: The view from outside on finance maintains that we can make sense of, and profit from, stock markets behavior, or at least few crucial properties of it, by crunching numbers and looking for patterns and regularities in certain sets of data as discussed by the authors.
Dissertation

An econometric analysis of the real demand for money in South Africa : 1990-2007

TL;DR: In this article, the authors present a Table of Table of contents of the paper. And acknowledgments and acknowledgments of the authors' work. And Table of the references.
Posted Content

Day-Of-The-Week Effects in Different Stock Markets: New Evidence on Model-Dependency in Testing Seasonalities in Stock Returns

TL;DR: In this article, the authors investigated the day-of-the-week effects in the stock indexes of both developed and emerging markets as well as the MSCI world index from March 2002 to May 2008 using regression models.
Journal ArticleDOI

Turn Of the Month Effect and Financial Crisis: A new explanation from the Greek Stock Market (2002-2012)

TL;DR: In this article, the authors examined the turn of the month (TOM) effect under changing financial trends and found that there is a strong predisposition in favour of the TOM effect.
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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