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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
Modelling Government Expenditures and Economic Growth Nexus in Saudi Arabia: 1968 -2010
TL;DR: In this paper, the authors investigated the role of government expenditures in contributing to long run economic growth in Saudi Arabia and concluded that government expenditure growth continued its gradual growth from the new level.
Journal ArticleDOI
Capital market integration in Spain? Introducing the Bilbao Stock Exchange, 1891-1936*
TL;DR: In this paper, the authors present the first results of their most recent research on the Bilbao Stock Exchange (BSE) from its foundation in 1890 up to the Spanish Civil War.
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Non-Linear Dependence of Indian Shariah Market
Sania Ashraf,Malabia Deo +1 more
TL;DR: In this paper, the authors focused on linearity or otherwise of Indian Shariah market i.e. CNX NIFTY, CNX500 and S&P BSE TASIS 50 during the period spanning from 1/January/2008 to 31/June/2013.
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Volatility spillover effects from global and national variables to sovereign cds spreads: evidence from turkey
TL;DR: Birincisi et al. as mentioned in this paper discussed the role of the CDS primine simetrik ve asimetrik yayilma etkisi arastirilmistir.
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Liquidity and the Future Stock Returns of the REIT Industry
TL;DR: In this article, the authors examine how deviations from expected optimal cash holdings affect future stock returns in the real estate investment trust (REIT) industry and find that REIT managers elect to hold less cash to reduce the agency problems of cash flow, supporting the pecking order theory that growth opportunities lead managers to retain more cash on hand.
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).
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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.