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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.
Posted Content
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.
Posted Content
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.
Journal ArticleDOI
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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Journal ArticleDOI
Application of Least Squares Regression to Relationships Containing Auto-Correlated Error Terms
D. Cochrane,G. H. Orcutt +1 more
TL;DR: Evidence is presented showing that the error terms involved in most current formulations of economic relations are highly positively autocorrelated and it is demonstrated that when estimates of autoregressive properties of error terms are based on calculated residuals there is a large bias towards randomness.
Book
Multivariate stochastic variance models
TL;DR: In this article, a multivariate model based on autoregressive conditional heteroscedasticity (ARCH) is proposed to capture common movements in volatility in a very natural way.
Journal ArticleDOI
Testing for "monopoly" equilibrium*
John C. Panzar,James N. Rosse +1 more
TL;DR: In this article, the authors developed a general test for "monopoly" and derived testable restrictions on the firm's reduced-form revenue equation which must be satisfied by any profit-maximizing firm whose choices are not affected by either strategic interactions or the threat of entry.
Journal ArticleDOI
Modeling Asymmetric Comovements of Asset Returns
Kenneth F. Kroner,Victor K. Ng +1 more
TL;DR: The authors compare the restrictions imposed by the four most popular multivariate GARCH models, and introduce a set of robust conditional moment tests to detect misspecification, and demonstrate that the choice of a multivariate volatility model can lead to substantially different conclusions in any application that involves forecasting dynamic covariance matrices (like estimating the optimal hedge ratio or deriving the risk minimizing portfolio).