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ویرایش: 3
نویسندگان: Brooks
سری:
ISBN (شابک) : 1107661455, 9781107661455
ناشر: Cambridge University Press
سال نشر: 2014
تعداد صفحات: 744
زبان: English
فرمت فایل : PDF (درصورت درخواست کاربر به PDF، EPUB یا AZW3 تبدیل می شود)
حجم فایل: 27 مگابایت
در صورت تبدیل فایل کتاب Introductory Econometrics for Finance 3rd Edition به فرمت های PDF، EPUB، AZW3، MOBI و یا DJVU می توانید به پشتیبان اطلاع دهید تا فایل مورد نظر را تبدیل نمایند.
توجه داشته باشید کتاب اقتصادسنجی مقدماتی برای امور مالی ویرایش سوم نسخه زبان اصلی می باشد و کتاب ترجمه شده به فارسی نمی باشد. وبسایت اینترنشنال لایبرری ارائه دهنده کتاب های زبان اصلی می باشد و هیچ گونه کتاب ترجمه شده یا نوشته شده به فارسی را ارائه نمی دهد.
این کتاب پرفروش منبع کاملی برای دانشجویان رشته مالی است. نسخه سوم با داده های جدید، نمونه های گسترده و آموزش های EViews به روز شده است. پشتیبانی بهبودیافته از دانشآموز شامل فصل جدیدی در ریاضیات پایه اقتصاد سنجی، مطالعه بیشتر و یک وبسایت با منابع دانشآموز و مربی رایگان است.
This best-selling textbook is a complete resource for finance students. The third edition has been updated with new data, extensive examples and EViews tutorials. Improved student support includes a new chapter on the basic mathematics underlying econometrics, further reading and a website with freely available student and instructor resources.
Contents List of figures List of tables List of boxes List of screenshots Preface to the third edition Acknowledgements 1 Introduction 1.1 What is econometrics? 1.2 Is financial econometrics different from ‘economic econometrics’? 1.3 Types of data 1.4 Returns in financial modelling 1.5 Steps involved in formulating an econometric model 1.6 Points to consider when reading articles in empirical finance 1.7 A note on Bayesian versus classical statistics 1.8 An introduction to EViews 1.9 Further reading 1.10 Outline of the remainder of this book 2 Mathematical and statistical foundations 2.1 Functions 2.2 Differential calculus 2.3 Matrices 2.4 Probability and probability distributions 2.5 Descriptive statistics 3 A brief overview of the classical linear regression model 3.1 What is a regression model? 3.2 Regression versus correlation 3.3 Simple regression 3.4 Some further terminology 3.5 Simple linear regression in EViews – estimation of an optimal hedge ratio 3.6 The assumptions underlying the classical linear regression model 3.7 Properties of the OLS estimator 3.8 Precision and standard errors 3.9 An introduction to statistical inference 3.10 A special type of hypothesis test: the t-ratio 3.11 An example of a simple t-test of a theory in finance: can US mutual funds beat the market? 3.12 Can UK unit trust managers beat the market? 3.13 The overreaction hypothesis and the UK stock market 3.14 The exact significance level 3.15 Hypothesis testing in EViews – example 1: hedging revisited 3.16 Hypothesis testing in EViews – example 2: the CAPM Appendix: Mathematical derivations of CLRM results 4 Further development and analysis of the classical linear regression model 4.1 Generalising the simple model to multiple linear regression 4.2 The constant term 4.3 How are the parameters (the elements of the β vector) calculated in the generalised case? 4.4 Testing multiple hypotheses: the F-test 4.5 Sample EViews output for multiple hypothesis tests 4.6 Multiple regression in EViews using an APT-style model 4.7 Data mining and the true size of the test 4.8 Goodness of fit statistics 4.9 Hedonic pricing models 4.10 Tests of non-nested hypotheses 4.11 Quantile regression Appendix 4.1: Mathematical derivations of CLRM results Appendix 4.2: A brief introduction to factor models and principal components analysis 5 Classical linear regression model assumptions and diagnostic tests 5.1 Introduction 5.2 Statistical distributions for diagnostic tests 5.3 Assumption 1: E(ut) = 0 5.4 Assumption 2: var(ut) = σ2 < ∞ 5.5 Assumption 3: cov(ui, uj) = 0 for i = j 5.6 Assumption 4: the xt are non-stochastic 5.7 Assumption 5: the disturbances are normally distributed 5.8 Multicollinearity 5.9 Adopting the wrong functional form 5.10 Omission of an important variable 5.11 Inclusion of an irrelevant variable 5.12 Parameter stability tests 5.13 Measurement errors 5.14 A strategy for constructing econometric models and a discussion of model-building philosophies 5.15 Determinants of sovereign credit ratings 6 Univariate time series modelling and forecasting 6.1 Introduction 6.2 Some notation and concepts 6.3 Moving average processes 6.4 Autoregressive processes 6.5 The partial autocorrelation function 6.6 ARMA processes 6.7 Building ARMA models: the Box–Jenkins approach 6.8 Constructing ARMA models in EViews 6.9 Examples of time series modelling in finance 6.10 Exponential smoothing 6.11 Forecasting in econometrics 6.12 Forecasting using ARMA models in EViews 6.13 Exponential smoothing models in EViews 7 Multivariate models 7.1 Motivations 7.2 Simultaneous equations bias 7.3 So how can simultaneous equations models be validly estimated? 7.4 Can the original coefficients be retrieved from the πs? 7.5 Simultaneous equations in finance 7.6 A definition of exogeneity 7.7 Triangular systems 7.8 Estimation procedures for simultaneous equations systems 7.9 An application of a simultaneous equations approach to modelling bid–ask spreads and trading activity 7.10 Simultaneous equations modelling using EViews 7.11 Vector autoregressive models 7.12 Does the VAR include contemporaneous terms? 7.13 Block significance and causality tests 7.14 VARs with exogenous variables 7.15 Impulse responses and variance decompositions 7.16 VAR model example: the interaction between property returns and the macroeconomy 7.17 VAR estimation in EViews 8 Modelling long-run relationships in finance 8.1 Stationarity and unit root testing 8.2 Tests for unit roots in the presence of structural breaks 8.3 Testing for unit roots in EViews 8.4 Cointegration 8.5 Equilibrium correction or error correction models 8.6 Testing for cointegration in regression: a residuals-based approach 8.7 Methods of parameter estimation in cointegrated systems 8.8 Lead–lag and long-term relationships between spot and futures markets 8.9 Testing for and estimating cointegrating systems using the Johansen technique based on VARs 8.10 Purchasing power parity 8.11 Cointegration between international bond markets 8.12 Testing the expectations hypothesis of the term structure of interest rates 8.13 Testing for cointegration and modelling cointegrated systems using EViews 9 Modelling volatility and correlation 9.1 Motivations: an excursion into non-linearity land 9.2 Models for volatility 9.3 Historical volatility 9.4 Implied volatility models 9.5 Exponentially weighted moving average models 9.6 Autoregressive volatility models 9.7 Autoregressive conditionally heteroscedastic (ARCH) models 9.8 Generalised ARCH (GARCH) models 9.9 Estimation of ARCH/GARCH models 9.10 Extensions to the basic GARCH model 9.11 Asymmetric GARCH models 9.12 The GJR model 9.13 The EGARCH model 9.14 GJR and EGARCH in EViews 9.15 Tests for asymmetries in volatility 9.16 GARCH-in-mean 9.17 Uses of GARCH-type models including volatility forecasting 9.18 Testing non-linear restrictions or testing hypotheses about non-linear models 9.19 Volatility forecasting: some examples and results from the literature 9.20 Stochastic volatility models revisited 9.21 Forecasting covariances and correlations 9.22 Covariance modelling and forecasting in finance: some examples 9.23 Simple covariance models 9.24 Multivariate GARCH models 9.25 Direct correlation models 9.26 Extensions to the basic multivariate GARCH model 9.27 A multivariate GARCH model for the CAPM with time-varying covariances 9.28 Estimating a time-varying hedge ratio for FTSE stock index returns 9.29 Multivariate stochastic volatility models 9.30 Estimating multivariate GARCH models using EViews Appendix: Parameter estimation using maximum likelihood 10 Switching models 10.1 Motivations 10.2 Seasonalities in financial markets: introduction and literature review 10.3 Modelling seasonality in financial data 10.4 Estimating simple piecewise linear functions 10.5 Markov switching models 10.6 A Markov switching model for the real exchange rate 10.7 A Markov switching model for the gilt–equity yield ratio 10.8 Estimating Markov switching models in EViews 10.9 Threshold autoregressive models 10.10 Estimation of threshold autoregressive models 10.11 Specification tests in the context of Markov switching and threshold autoregressive models: a cautionary note 10.12 A SETAR model for the French franc–German mark exchange rate 10.13 Threshold models and the dynamics of the FTSE 100 index and index futures markets 10.14 A note on regime switching models and forecasting accuracy 11 Panel data 11.1 Introduction – what are panel techniques and why are they used? 11.2 What panel techniques are available? 11.3 The fixed effects model 11.4 Time-fixed effects models 11.5 Investigating banking competition using a fixed effects model 11.6 The random effects model 11.7 Panel data application to credit stability of banks in Central and Eastern Europe 11.8 Panel data with EViews 11.9 Panel unit root and cointegration tests 11.10 Further reading 12 Limited dependent variable models 12.1 Introduction and motivation 12.2 The linear probability model 12.3 The logit model 12.4 Using a logit to test the pecking order hypothesis 12.5 The probit model 12.6 Choosing between the logit and probit models 12.7 Estimation of limited dependent variable models 12.8 Goodness of fit measures for linear dependent variable models 12.9 Multinomial linear dependent variables 12.10 The pecking order hypothesis revisited – the choice between financing methods 12.11 Ordered response linear dependent variables models 12.12 Are unsolicited credit ratings biased downwards? An ordered probit analysis 12.13 Censored and truncated dependent variables 12.14 Limited dependent variable models in EViews Appendix: The maximum likelihood estimator for logit and probit models 13 Simulation methods 13.1 Motivations 13.2 Monte Carlo simulations 13.3 Variance reduction techniques 13.4 Bootstrapping 13.5 Random number generation 13.6 Disadvantages of the simulation approach to econometric or financial problem solving 13.7 An example of Monte Carlo simulation in econometrics: deriving a set of critical values for a Dickey–Fuller test 13.8 An example of how to simulate the price of a financial option 13.9 An example of bootstrapping to calculate capital risk requirements 14 Conducting empirical research or doing a project or dissertation in finance 14.1 What is an empirical research project and what is it for? 14.2 Selecting the topic 14.3 Sponsored or independent research? 14.4 The research proposal 14.5 Working papers and literature on the internet 14.6 Getting the data 14.7 Choice of computer software 14.8 Methodology 14.9 Event studies 14.10 Tests of the CAPM and the Fama–French Methodology 14.11 How might the finished project look? 14.12 Presentational issues Appendix 1 Sources of data used in this book Appendix 2 Tables of statistical distributions Glossary References Index