Handbook of Financial Econometrics Book

Handbook of Financial Econometrics


  • Author : Yacine Ait-Sahalia
  • Publisher : Elsevier
  • Release Date : 2009-10-19
  • Genre: Business & Economics
  • Pages : 808
  • ISBN 10 : 0080929842

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Handbook of Financial Econometrics Excerpt :

This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections

Handbook Of Financial Econometrics  Mathematics  Statistics  And Machine Learning  In 4 Volumes  Book

Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes


  • Author : Cheng-few Lee
  • Publisher : World Scientific
  • Release Date : 2020-07-30
  • Genre: Business & Economics
  • Pages : 5056
  • ISBN 10 : 9789811202407

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Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes Excerpt :

This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Handbook of Research on Emerging Theories  Models  and Applications of Financial Econometrics Book

Handbook of Research on Emerging Theories Models and Applications of Financial Econometrics


  • Author : Burcu Adıgüzel Mercangöz
  • Publisher : Springer Nature
  • Release Date : 2021-02-17
  • Genre: Business & Economics
  • Pages : 457
  • ISBN 10 : 9783030541088

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Handbook of Research on Emerging Theories Models and Applications of Financial Econometrics Excerpt :

This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.

Handbook of Financial Econometrics Set Book

Handbook of Financial Econometrics Set


  • Author : Yacine Ait-sahalia
  • Publisher : North Holland
  • Release Date : 2009-09-21
  • Genre: Business & Economics
  • Pages : 1000
  • ISBN 10 : 0444535543

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Handbook of Financial Econometrics Set Excerpt :

Vol 1 covers fundamental econometric techniques and tools on recent advances in financial econometrics. Parametric and nonparametric, in continuous time and discrete time, these techniques and tools include Markov processes, a system for categorizing volatility concepts, a simulated method of moments indicator, and models for the timing of events. Together they reveal the ways that local characterizations can lead to long-run implications and how relationships between observed and unobserved values can be inferred. Vol 2 covers important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. Set is the collection of Volumes 1 & 2 Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections

Financial Econometrics  Mathematics and Statistics Book

Financial Econometrics Mathematics and Statistics


  • Author : Cheng-Few Lee
  • Publisher : Springer
  • Release Date : 2019-06-03
  • Genre: Business & Economics
  • Pages : 655
  • ISBN 10 : 9781493994298

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Financial Econometrics Mathematics and Statistics Excerpt :

This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics introduces tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting financial accounting research. Divided into four parts, the text begins with topics related to regression and financial econometrics. Subsequent sections describe time-series analyses; the role of binomial, multi-nomial, and log normal distributions in option pricing models; and the application of statistics analyses to risk management. The real-world applications and problems offer students a unique insight into such topics as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments. Written by leading academics in the quantitative finance field, allows readers to implement the principles behind financial econometrics and statistics through real-world applications and problem sets. This textbook will appeal to a less-served market of upper-undergraduate and graduate students in finance, economics, and statistics. ​

Handbook of Financial Econometrics and Statistics Book

Handbook of Financial Econometrics and Statistics


  • Author : Cheng-Few Lee
  • Publisher : Springer
  • Release Date : 2014-11-14
  • Genre: Business & Economics
  • Pages : 2897
  • ISBN 10 : 1461477514

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Handbook of Financial Econometrics and Statistics Excerpt :

​The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.​

Introductory Econometrics for Finance Book
Score: 5
From 1 Ratings

Introductory Econometrics for Finance


  • Author : Chris Brooks
  • Publisher : Cambridge University Press
  • Release Date : 2008-05-22
  • Genre: Business & Economics
  • Pages : null
  • ISBN 10 : 9781139472302

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Introductory Econometrics for Finance Excerpt :

This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. Key features: • Thoroughly revised and updated, including two new chapters on panel data and limited dependent variable models • Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models • Detailed examples and case studies from finance show students how techniques are applied in real research • Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results • Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice • Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods • Thoroughly class-tested in leading finance schools. Bundle with EViews student version 6 available. Please contact us for more details.

Efficiency in Business and Economics Book

Efficiency in Business and Economics


  • Author : Tadeusz Dudycz
  • Publisher : Springer
  • Release Date : 2017-12-29
  • Genre: Business & Economics
  • Pages : 309
  • ISBN 10 : 9783319682853

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Efficiency in Business and Economics Excerpt :

This volume offers a collection of studies on problem of organization’s efficiency, criteria for evaluating the efficiency, tools and methods for measuring the efficiency. The articles included present an interdisciplinary look at efficiency, its essence and the principles of its measurement. The contributions also identify a broad spectrum of conditions for achieving efficiency in various types of organizations and systems (e.g. public institution, non-profit organizations), representing various industries. The book collects selected papers presented at the 7th International Conference "Efficiency as a Source of the Wealth of Nations", held in Wrocław, Poland, in May 2017.

Handbook of Financial Econometrics  Applications Book

Handbook of Financial Econometrics Applications


  • Author : Yacine Aït-Sahalia
  • Publisher : Elsevier Science
  • Release Date : 2009-09
  • Genre: Business & Economics
  • Pages : 356
  • ISBN 10 : 0444535489

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Handbook of Financial Econometrics Applications Excerpt :

Vol 1 covers fundamental econometric techniques and tools on recent advances in financial econometrics. Parametric and nonparametric, in continuous time and discrete time, these techniques and tools include Markov processes, a system for categorizing volatility concepts, a simulated method of moments indicator, and models for the timing of events. Together they reveal the ways that local characterizations can lead to long-run implications and how relationships between observed and unobserved values can be inferred. Vol 2 covers important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. This set is the collection of Volumes 1 & 2. Its contributors include Nobel Laureate Robert Engle and leading econometricians. It offers a clarity of method and explanation unavailable in other financial econometrics collections.

Handbook in Monte Carlo Simulation Book

Handbook in Monte Carlo Simulation


  • Author : Paolo Brandimarte
  • Publisher : John Wiley & Sons
  • Release Date : 2014-06-20
  • Genre: Business & Economics
  • Pages : 688
  • ISBN 10 : 9781118594513

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Handbook in Monte Carlo Simulation Excerpt :

An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization. The Handbook in Monte Carlo Simulation features: An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentials Carefully crafted examples in order to spot potential pitfalls and drawbacks of each approach An accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methods Numerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentation The Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.

High Frequency Financial Econometrics Book

High Frequency Financial Econometrics


  • Author : Yacine Aït-Sahalia
  • Publisher : Princeton University Press
  • Release Date : 2014-07-21
  • Genre: Business & Economics
  • Pages : 688
  • ISBN 10 : 9780691161433

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High Frequency Financial Econometrics Excerpt :

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.

Financial Microeconometrics Book

Financial Microeconometrics


  • Author : Marek Gruszczyński
  • Publisher : Springer Nature
  • Release Date : 2019-11-23
  • Genre: Business & Economics
  • Pages : 215
  • ISBN 10 : 9783030342197

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Financial Microeconometrics Excerpt :

This book explores new topics in modern research on empirical corporate finance and applied accounting, especially the econometric analysis of microdata. Dubbed “financial microeconometrics” by the author, this concept unites both methodological and applied approaches. The book examines how quantitative methods can be applied in corporate finance and accounting research in order to predict companies getting into financial distress. Presented in a clear and straightforward manner, it also suggests methods for linking corporate governance to financial performance, and discusses what the determinants of accounting disclosures are. Exploring these questions by way of numerous practical examples, this book is intended for researchers, practitioners and students who are not yet familiar with the variety of approaches available for data analysis and microeconometrics. “This book on financial microeconometrics is an excellent starting point for research in corporate finance and accounting. In my view, the text is positioned between a narrative and a scientific treatise. It is based on a vast amount of literature but is not overloaded with formulae. My appreciation of financial microeconometrics has very much increased. The book is well organized and properly written. I enjoyed reading it.” Wolfgang Marty, Senior Investment Strategist, AgaNola AG

Handbook of Research Methods and Applications in Empirical Finance Book

Handbook of Research Methods and Applications in Empirical Finance


  • Author : Adrian R. Bell
  • Publisher : Edward Elgar Publishing
  • Release Date : 2013-01-01
  • Genre: Business & Economics
  • Pages : 504
  • ISBN 10 : 9780857936097

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Handbook of Research Methods and Applications in Empirical Finance Excerpt :

This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered. The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.

Financial Econometrics Book

Financial Econometrics


  • Author : Anonim
  • Publisher : Bookboon
  • Release Date : 2022-07-07
  • Genre: Uncategoriezed
  • Pages : null
  • ISBN 10 : 9788776814274

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Financial Econometrics Excerpt :

Financial Econometrics Book
Score: 5
From 1 Ratings

Financial Econometrics


  • Author : Svetlozar T. Rachev
  • Publisher : John Wiley & Sons
  • Release Date : 2007-03-22
  • Genre: Business & Economics
  • Pages : 560
  • ISBN 10 : 9780470121528

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Financial Econometrics Excerpt :

A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.