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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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Oil prices and the stock prices of alternative energy companies
Irene Henriques,Perry Sadorsky +1 more
TL;DR: In this article, a four variable vector autoregression model is developed and estimated in order to investigate the empirical relationship between alternative energy stock prices, technology stock prices and oil prices, and interest rates.
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Impact of Reward and Recognition on Job Satisfaction and Motivation: An Empirical Study from Pakistan
Rizwan Qaiser Danish,Ali Usman +1 more
TL;DR: In this article, the authors present an attempt to find out the major factors that motivate employees and it tells what is the relationship among reward, recognition and motivation while working within an organization.
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Volatility and correlation forecasting
TL;DR: A recent survey of the most important theoretical developments and empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications is provided in this paper, where a series of different economic situations in which volatility plays a crucial role, ranging from the use of volatility forecasts in portfolio allocation to density forecasting in risk management.
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Bank Specific and Macroeconomic Determinants of Commercial Bank Profitability Empirical Evidence from Turkey
Değer Alper,Adem Anbar +1 more
TL;DR: In this paper, the authors examined the bank-specific and macroeconomic determinants of the banks profitability in Turkey over the time period from 2002 to 2010 and found that asset size and non-interest income have a positive and significant effect on bank profitability.
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Forecasting the short-term metro passenger flow with empirical mode decomposition and neural networks
Yu Wei,Mu-Chen Chen +1 more
TL;DR: In this article, a hybrid EMD-BPN forecasting approach which combines empirical mode decomposition (EMD) and back-propagation neural networks (BPN) is developed to predict the short-term passenger flow in metro systems.
References
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The Adjustment of Stock Prices to New Information
TL;DR: In this paper, the authors examine the process by which common stock prices adjust to the information (if any) that is implicit in a stock split and show that the independence of successive price changes is consistent with a market that adjusts rapidly to new information.
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Multivariate Simultaneous Generalized ARCH
TL;DR: In this paper, a new parameterization of the multivariate ARCH process is proposed and equivalence relations are discussed for the various ARCH parameterizations, and conditions suffcient to guarantee the positive deffniteness of the covariance matrices are developed.
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The Pricing of Options on Assets with Stochastic Volatilities
John Hull,Alan White +1 more
TL;DR: In this article, the option price is determined in series form for the case in which the stochastic volatility is independent of the stock price, and the solution of this differential equation is independent if (a) the volatility is a traded asset or (b) volatility is uncorrelated with aggregate consumption, if either of these conditions holds, the risk-neutral valuation arguments of Cox and Ross [4] can be used in a straightfoward way.
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Forecasting, Structural Time Series Models and the Kalman Filter
TL;DR: In this paper, the authors provide a unified and comprehensive theory of structural time series models, including a detailed treatment of the Kalman filter for modeling economic and social time series, and address the special problems which the treatment of such series poses.
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Event Studies in Economics and Finance
TL;DR: In this article, event study methods are described including some of the potential complications of the approach, and an example is included to illustrate the approach and to illustrate how the impact of an economic event can be measured by examining security prices surrounding the event.