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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
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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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Data-snooping biases in tests of financial asset pricing models
TL;DR: In this article, the authors show that the effects of data snooping can be substantial when applied to financial asset pricing models, where properties of the data are used to construct the test statistics.
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Contributions to the Mathematical Theory of Evolution. II. Skew Variation in Homogeneous Material
TL;DR: In this paper, the authors considered the class of asymmetrical frequency curves, where the tendency to deviation on one side of the mean is unequal to the tendency of deviation on the other side.
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A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations
Yiu Kuen Tse,Albert K. Tsui +1 more
TL;DR: In this article, a multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) model with time-varying correlations is proposed, which adopts the vech representation based on the conditional variances and the conditional correlations.
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Long Swings in the Dollar: Are They in the Data and Do Markets Know It?
Charles Engel,James D. Hamilton +1 more
TL;DR: The authors developed a new statistical model of exchange rate dynamics as a sequence of stochastic, segmented time trends and rejected the null hypothesis that exchange rates follow a random walk in favor of their model of long swings.
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Determinants and Impact of Sovereign Credit Ratings
Richard Cantor,Frank Packer +1 more
TL;DR: In this article, the authors present the first systematic analysis of the determinants and impact of thesovereign credit ratings assigned by the two leading U.S.agencies, Moody's Investors Service and Standard and Poor's.