Open AccessPosted Content
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
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.
Journal ArticleDOI
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
Kalman filtering of generalized Vasicek term structure models
Simon H. Babbs,K. Ben Nowman +1 more
TL;DR: In this article, a subclass of Langetieg's (1980) linear Gaussian models of the term structure is presented, where the bond price is derived in terms of a finite set of state variables with correlated innovations.
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Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation
TL;DR: In this article, a Bayesian method of performance evaluation was employed to evaluate the performance of 1,437 mutual funds and found that some extremely skeptical prior beliefs nevertheless lead to economically significant allocations to active managers.
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Evidence of Nonlinearity in Daily Stock Returns
TL;DR: In this paper, the authors apply a newly developed statistical technique to time series of daily rates of return of 15 common stocks and show that the results suggest that daily stock returns are generated by a nonlinear process.
Book
Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange
Keith Cuthbertson,Dirk Nitzsche +1 more
TL;DR: This new edition of the hugely successful Quantitative Financial Economics has been revised and updated to reflect the most recent theoretical and econometric/empirical advances in the financial markets as discussed by the authors.
Journal ArticleDOI
The effect of asymmetries on optimal hedge ratios
TL;DR: In this paper, the authors consider the impact of asymmetry on time-varying hedges for financial futures and show that an asymmetric model that allows forecasts of cash and futures return volatility to respond differently to positive and negative return innovations gives superior in-sample hedging performance.