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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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Introducere în analiza anomaliilor calendaristice, Partea întâi (An Introduction to the Analysis of the Calendar Anomalies, Part 1)
Abstract: Romanian Abstract: Aceasta lucrare abordeaza unele dintre principalele caracteristici ale anomaliilor calendaristice precum cauzele acestora, persistenţa lor in timp sau posibilitaţile de a le utiliza in elaborarea strategiilor de investiţii. Sunt prezentate, totodata, câteva dintre tehnicile folosite pentru identificarea efectelor calendaristice.
English Abstract: This paper approaches some of the main characteristics of the calendar anomalies such as their causes, their persistence in time or the possibilities of using them in building the investment strategies. There are also presented some of the techniques employed in the calendar effects identification.
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An ai approach to measuring financial risk
TL;DR: A new measure for systemic risk: the Financial Risk Meter (FRM) is described, which combines quantitative and qualitative measures to assess the state of an economy.
Journal ArticleDOI
A model of active trading by using the properties of chaos
TL;DR: In this article, a nonlinear dynamical analysis of stock returns is used to obtain alternative trading rules by using nonlinear dynamic analysis of the daily return data of Istanbul Stock Exchange index and Shenzhen Index B-Shares.
Dissertation
Some extensions of the conditional CAPM
TL;DR: In this paper, the authors focus on four main extensions: (i) time-varying factor loadings; (ii) higher moments (coskewness and cokurtosis); (iii) time varying risk premia; and (iv) conditional versions of the CAPM using individual assets.
Valuation Using Multiples - Accuracy and Error Determinants
Johan Lillhage,Daniel Ek +1 more
TL;DR: In this paper, the authors investigate how accurate multiple valuations are in relation to the DCF and compare the accuracy of equity and entity multiples to determine the factors underlying the valuation errors.
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.