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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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Linear and nonlinear causality in the UK housing market: a regional approach
TL;DR: This article examined the causal relationship between 12 UK regional house prices and found that long-run causality among the regions is mainly linear while in the short-run is nonlinear in the UK.
Posted Content
The validity of Wagner’s Law in Romania during 1995-2015
Dimitrios Paparas,Andreea Stoian +1 more
TL;DR: In this article, the authors investigate the relationship between government expenditure and economic growth commonly known as Wagner's law for one single Central and Eastern European country namely Romania, using a dataset ranging from 1995 to 2015, applying latest econometric time series techniques such as unit root test, Johansen cointegration and Granger causality test.
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The impact of interest rate spread on the banking system efficiency in South Africa
TL;DR: The banking industry is the engine of economic activities of the modern day financial systems as mentioned in this paper.As such, banks play a very significant part in supporting economic growth through the efficient alloca...
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The WTI/Brent oil futures price differential and the globalisation-regionalisation hypothesis
TL;DR: The authors examined the globalisation-regionalisation hypothesis in the WTI/Brent crude oil futures price differential by considering a set of potential crude oil-market specific and oil futures market specific determinants at 1, 3 and 6 months to maturity contracts.
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A Macro Stress Test Model of Credit Risk for the Turkish Banking Sector
TL;DR: In this paper, the authors proposed a model to conduct macro stress test of credit risk for the banking sector based on scenario analysis, which measured the vulnerability of a bank or the aggregate banking sector against a set of hypothetic scenarios or events.
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.