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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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Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa
Ayanda Sikhosana,Goodness C. Aye +1 more
TL;DR: In this paper, the authors analyzed the asymmetric volatility spillovers between the real exchange rate and stock returns in South Africa and found that there is a bi-directional volatility spillover effect between the two markets in the short-run.
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What determines the out-of-home placement of children in the USA?
TL;DR: In this paper, the authors used logistic regression, probit analysis, discriminant analysis and an artificial neural network to determine the factors which explain the decision to place a child in out-of-home care.
Journal Article
Testing Weak form Efficiency in the Indian Capital Market
Rakesh Gupta,Junhao Yang +1 more
TL;DR: In this article, the weak form efficiency or random walk hypothesis for the two major equity markets (BSE and NSE) in India for the period 1997 to 2011 was tested and results of market efficiency are mixed as: for quarterly data, all three methods ADF, PP and KPSS tests support the weak-form efficiency for later sample period 2007 to 2011, but slight conflict for earlier period 1997-2007 as only PP test shows weak form inefficiency.
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Underpricing and Long-Run Performance Patterns of European Private-Equity-Backed and Non-Private-Equity-Backed IPOs
TL;DR: In this paper, Bergstrom, Nilsson, and Wahlberg present the performance of a data-set of 152 private-equity-backed IPOs against 1,370 non-private equity-backed firms in London and Paris between 1994 and 2004.
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Liquidity risk exposure and its determinants in the banking sector : a comparative analysis between Islamic, conventional and hybrid banks.
TL;DR: In this article, the authors explored and examined the liquidity risk that Islamic banks are exposed to in a comparison with conventional and hybrid banks in the case of 145 commercial banks for the period of 1996-2015.
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.