Introduction to Applied Financial Econometrics
Book
Paperback/Softback
352 pages
978-0-07-709589-5 (ISBN)
Description
This text focuses on financial applications and provides an accessible introduction for those with no prior knowledge in this area, building up to more difficult concepts to test the reader's skills. It contains factual examples from current finance literature.
More details
Language
English
Place of publication
London
United Kingdom
Publishing group
McGraw-Hill Education - Europe
Target group
College/higher education
Dimensions
Height: 229 mm
Width: 152 mm
ISBN-13
978-0-07-709589-5 (9780077095895)
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Schweitzer Classification
Content
Part 1 Essential econometrics in finance: introduction; principles of linear regression; problems in multiple linear regression; simultaneous equation models and identification. Part 2 Advances in the econometrics of financial systems: modelling time series; advances in time series econometrics; co-integration and error correction models; advances in cross-section econometrics; panel data techniques. Part 3 Econometrics applications in finance: risk and return aim financial markets; modelling interest rate behaviour; modelling real capital gains in stock markets; modelling exchange rates and target zones; auctions and options; derivatives and scholastic calculus; state-space models and the Kalman filter; regime switching models in finance.