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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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Journal ArticleDOI
The oil price exposure of global oil companies
TL;DR: In this paper, the authors investigated the impact of global oil market risk factors on the oil price risk of oil company stock prices and found that oil prices and market risk are both positive and statistically significant priced risk factors.
Posted Content
Modelling Australian stock market volatility: a multivariate GARCH approach
TL;DR: This article used a multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model to provide an insight into the nature of interaction between stock market returns of four countries, namely, Australia, Singapore, the UK, and the US.
Dissertation
Determinants of Foreign Direct Investment in Nigeria: An Empirical Investigation
TL;DR: In this paper, the authors propose a method to solve the problem of unstructured data in the context of data augmentation, which is based on the concept of "data augmentation".
Journal ArticleDOI
The Importance of Maritime Transport for Economic Growth in the European Union: A Panel Data Analysis
Alexandra Fratila (Adam),Ioana Andrada Gavril (Moldovan),Sorin Cristian Nita,Andrei Hrebenciuc +3 more
TL;DR: In this article, the impact of maritime transport, related investment, and air pollution on economic growth within 20 countries of the European Union, using eight panel data regression models from 2007 to 2018.
Posted Content
Modeling and Forecasting Inflation in Zimbabwe: a Generalized Autoregressive Conditionally Heteroskedastic (GARCH) approach
TL;DR: In this paper, the AR (1) -GARCH (1, 1) model was used to predict the volatility of monthly inflation rate in Zimbabwe over the period July 2009 to July 2018.
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.