Introductory Econometrics for Finance (R Guide)

What Does RStudio Look Like?......Page 7
Importing Data......Page 9
Data Description......Page 11
Changing and Creating Data......Page 12
Graphics and Plots......Page 13
Keeping Track of Your Work......Page 14
Linear Regression – Estimation of an Optimal Hedge Ratio......Page 16
Hypothesis Testing – Example 1: Hedging Revisited......Page 19
Hypothesis Testing – Example 2: The CAPM......Page 21
Sample Output for Multiple Hypothesis Tests......Page 25
Multiple Regression Using an APT-Style Model......Page 26
Stepwise Regression......Page 28
Quantile Regression......Page 31
Calculating Principal Components......Page 34
Testing for Heteroscedasticity......Page 36
Using White's Modified Standard Error Estimates......Page 37
The Newey–West Procedure for Estimating Standard Errors......Page 38
Autocorrelation and Dynamic Models......Page 39
Testing for Non-Normality......Page 40
Dummy Variable Construction and Application......Page 41
The RESET Test for Functional Form......Page 44
Stability Tests......Page 45
Recursive Estimation......Page 46
Estimating Autocorrelation Coefficients......Page 49
Using Information Criteria to Decide on Model Orders......Page 50
Forecasting Using ARMA Models......Page 53
Estimating Exponential Smoothing Models......Page 55
Simultaneous Equations Modelling......Page 56
Vector Autoregressive (VAR) Models......Page 60
Testing for Unit Roots......Page 66
Cointegration Tests and Modelling Cointegrated Systems......Page 68
The Johansen Test for Cointegration......Page 70
Estimating GARCH Models......Page 75
EGARCH and GJR Models......Page 76
GARCH-M Estimation......Page 78
Forecasting from GARCH Models......Page 80
Estimation of Multivariate GARCH Models......Page 81
Dummy Variables for Seasonality......Page 84
Estimating Markov Switching Models......Page 85
Panel Data Models......Page 88
Limited Dependent Variable Models......Page 93
Deriving Critical Values for a Dickey–Fuller Test Using Simulation......Page 99
Pricing Asian Options......Page 103
Extreme Value Theory......Page 106
The Hill Estimator for Extreme Value Distributions......Page 107
VaR Estimation Using Bootstrapping......Page 108
The Fama–MacBeth Procedure......Page 111
References......Page 113