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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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Can energy commodity futures add to the value of carbon assets
TL;DR: In this paper, the authors examined whether energy commodity futures are an attractive asset class for helping investors manage carbon risk and found that despite the superiority of the hedged portfolios in increasing the risk-adjusted returns of carbon assets, the dynamic diversified portfolios are much preferred for reducing variance and the downside risks of carbon asset.
Journal ArticleDOI
The Relationship Between Exchage Rates and Inflation: The Case of Iran
TL;DR: In this paper, the relationship between exchange rate and inflation based on time series data, using Hendry General to Specific Modeling method and Vector Autoregression (VAR) model was analyzed.
Journal ArticleDOI
Modeling Exchange Rate Volatility: Application of the GARCH and EGARCH Models
TL;DR: In this paper, the authors apply univariate nonlinear time series analysis to the daily (TZS/USD) exchange rate data spanning from January 4, 2009 to July 27, 2015 to examine the behavior of exchange rate in Tanzania.
Does Stock Market Respond to Economic Fundamentals? Time- series Analysis from Indian Data
TL;DR: In this article, the authors investigated the impact of macroeconomic factors on stock market behavior considering the Indian data and found that macroeconomic variables and the stock market index are co-integrated and, hence, a long-run equilibrium relationship exists between them.
Dissertation
A comparison of corporate governance and firm performance in developing (Malaysia) and developed (Australia) financial markets
TL;DR: In this article, the authors investigated the relationship between corporate governance and the value of a firm in developing and developed financial markets due to disparate corporate governance structures in these markets resulting from the dissimilar social, economic and regulatory conditions in these countries.
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.