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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.

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Citations
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Journal ArticleDOI

Impact of oil price fluctuations on Indian economy

TL;DR: In this paper, the authors empirically examined how oil price fluctuations impact Indian economy through various channels, viz. real sector, monetary policy, external trade, exchange rate and investment.
Journal ArticleDOI

A hybrid model for forecasting the volume of passenger flows on Serbian railways

TL;DR: This study aims at presenting a hybrid model based on the integration of the genetic algorithm and the artificial neural networks for forecasting the monthly volume of passengers on the Serbian railways, and demonstrates how the genetic algorithms can be used to optimize the network architecture.
Journal ArticleDOI

Board Characteristics, Audit Committee and Ownership Structure Influence on Firm Performance of Manufacturing Firms in India

TL;DR: In this paper, the authors investigated the relationship and impact of corporate governance measures such as board characteristics, audit committee and ownership structure on the financial performance of the selected manufacturing firms listed in Bombay Stock Exchange (BSE).
Journal ArticleDOI

Information Disclosure by Family-Controlled Firms: The Role of Board Independence and Institutional Ownership

TL;DR: In this article, the influence of family control on the extent of voluntary disclosure in the annual report of Indonesian listed firms was investigated and the role of corporate governance mechanisms in explaining the association between family control and voluntary disclosure.
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A Bayesian chi-squared test for hypothesis testing

TL;DR: In this paper, a new Bayesian test statistic is proposed to test a point null hypothesis based on a quadratic loss, which is regarded as the Bayesian version of the Lagrange multiplier test.
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

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

Halbert White
- 01 May 1980 - 
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.
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