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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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Dissertation
An analysis of spatial market integration: a case of Zambian dry bean markets connected by informal trade to Tanzania and the Democratic Republic of Congo
TL;DR: In this article, the authors present a review of the state of the art in the field of market integration, focusing on the role of figures, tables, and abbreviations in market integration.
Dissertation
Contribution of Corporate Governance Leadership Practices on Performance of Listed Companies in Kenya
TL;DR: In this paper, the authors propose a novel approach to solve the problem of homonymity in the context of homophily, and propose a method to solve homophysics.
Journal ArticleDOI
Stock Market Sensitivity to Macroeconomic Factors: Evidence from China and India
TL;DR: In this paper, the impact of Chinese macroeconomic factors on Shanghai Stock Exchange (SSE) Composite returns and Indian macro economic factors on Nifty returns based on monthly data from January 1998 to December 2018.
Journal Article
Valor e práticas de governança corporativa das empresas listadas na bm&fbovespa
TL;DR: In this paper, a revisao de literatura acerca do value relevance da informacao financeira and das praticas diferenciadas de governanca corporativa exigidas pela BM&FBOVESPA, foram analisadas as empresas do Indice Brasil (IBrX) no periodo de 2010 a 2012.
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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.