Handbook Of Financial Econometrics Volume 1

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Handbook Of Financial Econometrics

Author : Yacine Ait-Sahalia
ISBN : 0444535497
Genre : Business & Economics
File Size : 53.15 MB
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Applied financial econometrics subjects are featured in this second volume, with papers that survey 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. A landmark in its coverage, this volume should propel financial econometric research for years. Presents a broad survey of current research Contributors are leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections
Category: Business & Economics

Handbook Of Financial Econometrics

Author : Lars Peter Hansen
ISBN : 044450897X
Genre : Econometrics
File Size : 31.17 MB
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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 Ait-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. The book presents a broad survey of current research-from local characterizations of the Markov process dynamics to financial market trading activity. Contributors include Nobel Prize laureate Robert Engle and other leading econometricians. The book also offers a clarity of method and explanation unavailable in other financial econometrics collections.
Category: Econometrics

Handbook Of Financial Econometrics And Statistics

Author : Cheng-Few Lee
ISBN : 1461477492
Genre : Business & Economics
File Size : 90.80 MB
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​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.​
Category: Business & Economics

Handbook Of Econometrics Vol 7d

Author : Steven Durlauf
ISBN : 9780444636515
Genre : Business & Economics
File Size : 78.71 MB
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Our flourishing ability to address empirical problems in economics by using economic theory and statistical methods has driven the field of econometrics to places unimaginable a few years ago. By designing methods of inference from data based on models of human choice behavior and social interactions, econometricians have created new subfields now sufficiently mature to require sophisticated literature summaries. Volume 7 of the Handbook in Econometrics examines recent advances in foundational issues and "hot" topics within econometrics, such as inference for moment inequalities and estimation of high dimensional models. With its world-class editors and contributors, it succeeds in unifying leading studies of economic models, mathematical statistics, and economic data that form this distinct field of knowledge. Presents a broader and more comprehensive view of this expanding field than any other handbook Emphasizes connections between econometrics to economics Highlights current topics for which no good summaries exist
Category: Business & Economics

Handbook Of Econometrics

Author :
ISBN : 9780444636546
Genre : Business & Economics
File Size : 66.90 MB
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Handbook of Econometrics, Volume 7A, examines recent advances in foundational issues and "hot" topics within econometrics, such as inference for moment inequalities and estimation of high dimensional models. With its world-class editors and contributors, it succeeds in unifying leading studies of economic models, mathematical statistics and economic data. Our flourishing ability to address empirical problems in economics by using economic theory and statistical methods has driven the field of econometrics to unimaginable places. By designing methods of inference from data based on models of human choice behavior and social interactions, econometricians have created new subfields now sufficiently mature to require sophisticated literature summaries. Presents a broader and more comprehensive view of this expanding field than any other handbook Emphasizes the connection between econometrics and economics Highlights current topics for which no good summaries exist
Category: Business & Economics

Palgrave Handbook Of Econometrics

Author : T. Mills
ISBN : 9780230244405
Genre : Business & Economics
File Size : 50.42 MB
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Following theseminal Palgrave Handbook of Econometrics: Volume I , this second volume brings together the finestacademicsworking in econometrics today andexploresapplied econometrics, containing contributions onsubjects includinggrowth/development econometrics and applied econometrics and computing.
Category: Business & Economics

Efficiency In Business And Economics

Author : Tadeusz Dudycz
ISBN : 9783319682853
Genre : Business & Economics
File Size : 65.32 MB
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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.
Category: Business & Economics

Financial Econometrics Mathematics And Statistics

Author : Cheng-Few Lee
ISBN : 9781493994298
Genre : Business & Economics
File Size : 60.66 MB
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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. ​
Category: Business & Economics

Financial Microeconometrics

Author : Marek Gruszczyński
ISBN : 9783030342197
Genre : Business & Economics
File Size : 63.33 MB
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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
Category: Business & Economics

Financial Econometrics

Author : Svetlozar T. Rachev
ISBN : 9780470121528
Genre : Business & Economics
File Size : 88.13 MB
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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.
Category: Business & Economics

Handbook Of Applied Econometrics Volume I Macroeconomics

Author : M Hashem Pesaran
ISBN : 0631215581
Genre : Business & Economics
File Size : 89.3 MB
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This is the first and most authoritative overview of the applied work that is happening in the field making it an essential resource for academics, researchers, graduate students and professional economists in industry and government.
Category: Business & Economics

Market Risk Analysis Practical Financial Econometrics

Author : Carol Alexander
ISBN : 9780470771037
Genre : Business & Economics
File Size : 81.48 MB
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Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Factor analysis with orthogonal regressions and using principal component factors; Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; Simulation of normal mixture and Markov switching GARCH returns; Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; Markov switching regression models (Eviews code); GARCH term structure forecasting with volatility targeting; Non-linear quantile regressions with applications to hedging.
Category: Business & Economics

Handbook Of Economic Forecasting

Author : Graham Elliott
ISBN : 9780444627407
Genre : Business & Economics
File Size : 43.45 MB
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The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
Category: Business & Economics

Handbook Of The Economics Of Finance Set Volumes 2a 2b

Author : George M. Constantinides
ISBN : 9780444594655
Genre : Business & Economics
File Size : 83.27 MB
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This two-volume set of 23 articles authoritatively describes recent scholarship in corporate finance and asset pricing. Volume 1 concentrates on corporate finance, encompassing topics such as financial innovation and securitization, dynamic security design, and family firms. Volume 2 focuses on asset pricing with articles on market liquidity, credit derivatives, and asset pricing theory, among others. Both volumes present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek insightful perspectives and important details, they demonstrate how corporate finance studies have interpreted recent events and incorporated their lessons. Covers core and newly-developing fields Explains how the 2008 financial crises affected theoretical and empirical research Exposes readers to a wide range of subjects described and analyzed by the best scholars
Category: Business & Economics

Handbook Of The Economics Of Finance

Author : George M. Constantinides
ISBN : 9780444535955
Genre : Business & Economics
File Size : 73.33 MB
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In the 11 articles in this first of two parts, top scholars summarize and analyze recent scholarship in corporate finance. Covering subjects from corporate taxes to behavioral corporate finance and econometric issues, their articles reveal how specializations resonate with each other and indicate likely directions for future research. By including both established and emerging topics, Volume 2 will have the same long shelf life and high citations that characterize Volume 1 (2003). Presents coherent summaries of major finance fields, marking important advances and revisions Describes the best corporate finance research created about the 2008 financial crises Exposes readers to a wide range of subjects described and analyzed by the best scholars
Category: Business & Economics

Handbook Of Applied Econometrics Volume Ii Microeconomics

Author : M Hashem Pesaran
ISBN : 0631216332
Genre : Business & Economics
File Size : 46.11 MB
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This Handbook focuses on specific microeconomics applications, rather than on conventional econometric theory. It covers the econometric issues involved in a variety of applied microeconomic problems.
Category: Business & Economics

Handbook Of Modeling High Frequency Data In Finance

Author : Frederi G. Viens
ISBN : 9781118204566
Genre : Business & Economics
File Size : 71.60 MB
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CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allowed financial practitioners to design systems that can handle and analyze this information. Handbook of Modeling High-Frequency Data in Finance addresses the many theoretical and practical questions raised by the nature and intrinsic properties of this data. A one-stop compilation of empirical and analytical research, this handbook explores data sampled with high-frequency finance in financial engineering, statistics, and the modern financial business arena. Every chapter uses real-world examples to present new, original, and relevant topics that relate to newly evolving discoveries in high-frequency finance, such as: Designing new methodology to discover elasticity and plasticity of price evolution Constructing microstructure simulation models Calculation of option prices in the presence of jumps and transaction costs Using boosting for financial analysis and trading The handbook motivates practitioners to apply high-frequency finance to real-world situations by including exclusive topics such as risk measurement and management, UHF data, microstructure, dynamic multi-period optimization, mortgage data models, hybrid Monte Carlo, retirement, trading systems and forecasting, pricing, and boosting. The diverse topics and viewpoints presented in each chapter ensure that readers are supplied with a wide treatment of practical methods. Handbook of Modeling High-Frequency Data in Finance is an essential reference for academics and practitioners in finance, business, and econometrics who work with high-frequency data in their everyday work. It also serves as a supplement for risk management and high-frequency finance courses at the upper-undergraduate and graduate levels.
Category: Business & Economics

Palgrave Handbook Of Econometrics

Author : H. Hassani
ISBN : 1403941556
Genre : Business & Economics
File Size : 34.69 MB
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Volume I of the Palgrave Handbook of Econometrics covers developments in theoretical econometrics, including essays on the methodology and history of econometrics, developments in time-series and cross-section econometrics, modelling with integrated variables, Bayesian econometrics, simulation methods and a selection of special topics.
Category: Business & Economics

Handbook Of Heavy Tailed Distributions In Finance

Author : S.T Rachev
ISBN : 0080557732
Genre : Business & Economics
File Size : 87.51 MB
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The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series. This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modelling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management.
Category: Business & Economics

Handbook Of Quantitative Finance And Risk Management

Author : Cheng-Few Lee
ISBN : 0387771174
Genre : Business & Economics
File Size : 68.90 MB
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Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.
Category: Business & Economics