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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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Simulation-based Valuation of Project Finance Investments – Crucial Aspects of Power Plant Projects
TL;DR: In this paper, the authors analyze crucial aspects within the valuation of a power plant financed via project finance, a popular financing method for projects with high capital requirements. But the focus of the analysis is on the impact of model complexity and electricity prices.
Proceedings ArticleDOI
Gold price effect on stock market: A Markov switching vector error correction approach
TL;DR: In this paper, the authors compared the intercept adjusted Markov switching vector error correction model and intercept adjusted heteroskedasticity Markov Switching Vector Error Correction Model to determine the best model representation in capturing the transition of the time series.
Dissertation
Corporate governance, disclosure content and shareholder value : impacts and interrelationships from the US banking sector
TL;DR: In this article, the authors examined the influence of internal corporate governance mechanisms on CSR and risk management disclosure content and their substantive consequences on shareholders' value and found that effective corporate governance is likely to encourage more corporate social responsibility (CSR) and riskmanagement (RM) disclosure, which in turn is expected to improve stock prices and reduce return volatility.
Journal ArticleDOI
Estimating the probability distribution of the exchange rate between Ghana Cedi and American dollar
TL;DR: In this paper, the best probability distribution function (PDF) that fits the data on exchange rate between the Ghana Cedi and American dollar was found to be best modeled by the lognormal distribution.
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
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.