Applied Financial Econometrics: Theory, Method and Applications

Preface
Acknowledgements
About This Book
Praise For Applied Financial Econometrics
Contents
About the Author
Abbreviations
List of Figures
List of Tables
1 Introduction
	1.1 Background
	1.2 Steps to Be Followed in Applied Financial Econometrics Study
		1.2.1 Problem Definition or Statement
		1.2.2 Selection of Variables
		1.2.3 Model Description
		1.2.4 Selection of Methods or Techniques
		1.2.5 Result Estimation
		1.2.6 Interpretation and Validation
		1.2.7 Conclusion and Research Implications
	1.3 Fundamental Data Types Used in Financial Econometrics Study
		1.3.1 Cross-Sectional Data
		1.3.2 Time Series Data
		1.3.3 Pooled Data
		1.3.4 Panel Data
	1.4 Software Packages
		1.4.1 EViews
			1.4.1.1 EViews in Action
		1.4.2 R Programming
			1.4.2.1 R in Action
	1.5 Exercises
		1.5.1 Multiple Choice Questions
		1.5.2 Fill in the Blanks
		1.5.3 Long Answer Questions
		1.5.4 Real-World Tasks
		1.5.5 Case Studies
2 Random Walk Hypothesis
	2.1 Background
		2.1.1 What Is Random Walk Hypothesis and Its Implications?
		2.1.2 Efficient Market Hypothesis
		2.1.3 Random Walk Hypothesis and Martingales
		2.1.4 Illustrations of Random Walk Models
			2.1.4.1 Random Walk Model with a Fixed Drifts
			2.1.4.2 Random Walk Model with Random Drifts
	2.2 Finance in Action
		2.2.1 EViews Stepwise Implementations
	2.3 Exercises
		2.3.1 Multiple Choice Questions
		2.3.2 Fill in the Blanks
		2.3.3 Long Answer Questions
		2.3.4 Real-World Tasks
		2.3.5 Case Studies
	References
3 Geometric Brownian Motion
	3.1 Background
	3.2 Finance in Action
	3.3 Exercises
		3.3.1 Multiple Choice Questions
		3.3.2 Fill in the Blanks
		3.3.3 Long Answer Questions
		3.3.4 Real-World Tasks
		3.3.5 Case Studies
4 Efficient Frontier and Portfolio Optimization
	4.1 Background
		4.1.1 Mean-Variance Efficient Frontier
		4.1.2 Portfolio Optimization
		4.1.3 Capital Market Line and Mean Variance Efficient Frontier
	4.2 Finance in Action
	4.3 Exercises
		4.3.1 Multiple Choice Questions
		4.3.2 Fill in the Blanks
		4.3.3 Long Answer Questions
		4.3.4 Real-World Tasks
		4.3.5 Case Studies
	References
5 Introduction to Asset Pricing Factor Models
	5.1 Background
		5.1.1 What Is So Special About Fama and French (1993) Three Factor Asset Pricing Model?
		5.1.2 Econometrics of Linear Factor Pricing Models
		5.1.3 How to Test One Model Versus the Other
		5.1.4 Panel Regression
	5.2 Finance in Action
		5.2.1 Illustration on Implementation of the Asset Pricing Models
		5.2.2 Illustration on Testing the Asset Pricing Models Performance
		5.2.3 Illustration on Panel Regression Model
	5.3 Exercises
		5.3.1 Multiple Choice Questions
		5.3.2 Fill in the Blanks
		5.3.3 Long Answer Questions
		5.3.4 Real-World Tasks
		5.3.5 Case Studies
	References
6 Risk Analysis
	6.1 Background
		6.1.1 ARIMA
		6.1.2 ARCH & GARCH
		6.1.3 VAR
	6.2 Finance in Action
	6.3 Exercises
		6.3.1 Multiple Choice Questions
		6.3.2 Fill in the Blanks
		6.3.3 Long Answer Questions
		6.3.4 Real-World Tasks
		6.3.5 Case Studies
	References
7 Introduction to Fat Tails
	7.1 Background
	7.2 Finance in Action
	7.3 Exercises
		7.3.1 Multiple Choice Questions
		7.3.2 Fill in the Blanks
		7.3.3 Long Answer Questions
		7.3.4 Real-World Tasks
		7.3.5 Case Studies
	References
8 Threshold Autoregression
	8.1 Background
	8.2 Finance in Action
	8.3 EViews Implementation and Interpretations
		8.3.1 Data
		8.3.2 Methodology
		8.3.3 Test of Stationarity
		8.3.4 BDS Test for Independence
		8.3.5 Threshold Autoregression
		8.3.6 Stepwise Implementation and Interpretations
	8.4 Exercises
		8.4.1 Multiple Choice Questions
		8.4.2 Fill in the Blanks
		8.4.3 Long Answer Questions
		8.4.4 Real-World Tasks
		8.4.5 Case Study
	References
9 Introduction to Wavelets
	9.1 Background
	9.2 Finance in Action
	9.3 Exercises
		9.3.1 Multiple Choice Questions
		9.3.2 Fill in the Blanks
		9.3.3 Long Answer Questions
		9.3.4 Real-World Tasks
		9.3.5 Case Studies
	References
Index