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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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Trade linkages and transmission of oil price fluctuations
TL;DR: In this article, a simultaneous equation model (SEM) was applied through a Weighted Two Stage Least Squares (W2SLS) estimation method to different countries (21 cases) with business relations over the period from Q1 2000 to Q4 2015.
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The dynamic interactions among the stock, bond and insurance markets
TL;DR: In this article, the authors explored the lead-lag relationships and the dynamic linkages among stock, insurance and bond markets in the developed countries and found that the direction of causality appears to differ across countries.
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Does investing in intellectual capital improve productivity? Panel evidence from commercial banks in India
TL;DR: In this article, the authors examined investment in intellectual capital by banks and examined how it has improved bank productivity measured in terms of asset turnover (ATO) and employee productivity, using a panel of 73 commercial banks in India for a 12-year period (2006-2017).
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Energy intensity determinants in an energy-exporting developing economy: Case of Iran
TL;DR: In this article, the authors identify price and non-price determinants of Iran's energy intensity and analyze their importance in dynamics of it, and show that the elasticity of energy intensity with respect to total factor productivity, real energy prices, and industrial development is negative in the short run and long run.
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Causality and dynamics of energy consumption and output: evidence from non-OECD Asian countries
TL;DR: In this article, the authors examined the short-run and long-run causal relationship between energy consumption and output in six non-OECD Asian developing countries using standard time series econometrics.
References
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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.