Open AccessPosted Content
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
More filters
Journal ArticleDOI
Market-Wide Herding and The Impact of Institutional Investors in the Indian Capital Market
TL;DR: In this article, the authors identify the presence of market-wide herding in the Indian capital market and whether Institutional Investors impact such herding and look at the impact of FII Flows as well as mutual funds on herding.
Journal ArticleDOI
Exchange rate volatility and UK imports from developing countries: The effect of the global financial crisis
Taufiq Choudhry,Syed S. Hassan +1 more
TL;DR: In this paper, the role of exchange rate volatility in determining the UK's real imports from three major developing countries (Brazil, China, and South Africa) was investigated and a significant effect of the recent financial crisis on UK imports was found.
Journal ArticleDOI
3. econometric modelling of newbuilding and secondhand ship prices
TL;DR: In this article, the authors developed and presented a model based on economic theory that has determined that newbuilding prices and timecharter rates have the greatest effect of all variables on the determination of secondhand ship prices, in most cases in both the short and long run.
Book
Data Mining and Market Intelligence for Optimal Marketing Returns
Susan Chiu,Domingo Tavella +1 more
TL;DR: In this paper, an effective eight-step process for incorporating metrics, research and data mining into marketing planning and execution is described, where the authors identify key stakeholders and their business objectives, and select appropriate metrics to measure marketing success.
Journal ArticleDOI
Forecasting volatility in the financial markets: a comparison of alternative distributional assumptions
TL;DR: In this article, the authors analyzed the volatility forecasting performance of the GARCH models based on various distributional assumptions in the context of stock market indices and exchange rate returns, using rollover methods to construct the out-of-the-sample volatility forecasts.
References
More filters
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.