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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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Journal ArticleDOI
The relationship between ownership structure and firm financial performance: Evidence from Jordan
TL;DR: In this paper, the authors used the multiple regression method to analyze available data for non-financial firms listed in the Amman Stock Exchange (ASE) for the fiscal year 2012.
Journal ArticleDOI
Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies
Lidija Dedi,Burhan F. Yavas +1 more
TL;DR: In this article, the authors investigated the linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey, and found that the existence of significant co-movements of returns among the countries in the sample.
Journal ArticleDOI
Determinants of renewable energy adoption in China and India: a comparative analysis
TL;DR: In this paper, the authors examined the dynamic relationships among output, carbon emission and renewable energy generation of India and China during the period 1972 to 2011 using a multivariate vector error correction model (VECM).
Dissertation
Corporate governance, voluntary disclosure and financial performance: ban empirical analysis of Saudi listed firms using a mixed-methods research design
TL;DR: In this article, a mixed-methods approach was used to evaluate the impact of corporate governance reforms on corporate disclosure and performance in Saudi Arabia, and the results showed that good corporate governance practices are positively related to return on assets (ROA), but have no significant relationship with firm value.
The impact of firm characteristics on earnings management: an empirical study on the listed firms in Egypt
TL;DR: In this article, the impact of firm characteristics on earnings management of the listed firms in Egypt is assessed using the financial statements from the disclosure book for the period 2007-2011 and the results show that there is a significant positive relationship between firms' financial leverage and earnings management while other variables of the firm characteristics which are firm size, firm age and firms' audit quality have an insignificant relationship with earnings management.
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.