Author: Marno Verbeek Publisher: Walter de Gruyter GmbH & Co KG ISBN: 3110660814 Category : Business & Economics Languages : en Pages : 284
Book Description
Financial data are typically characterised by a time-series and cross-sectional dimension. Accordingly, econometric modelling in finance requires appropriate attention to these two – or occasionally more than two – dimensions of the data. Panel data techniques are developed to do exactly this. This book provides an overview of commonly applied panel methods for financial applications, including popular techniques such as Fama-MacBeth estimation, one-way, two-way and interactive fixed effects, clustered standard errors, instrumental variables, and difference-in-differences. Panel Methods for Finance: A Guide to Panel Data Econometrics for Financial Applications by Marno Verbeek offers the reader: Focus on panel methods where the time dimension is relatively small A clear and intuitive exposition, with a focus on implementation and practical relevance Concise presentation, with many references to financial applications and other sources Focus on techniques that are relevant for and popular in empirical work in finance and accounting Critical discussion of key assumptions, robustness, and other issues related to practical implementation
Author: Marno Verbeek Publisher: Walter de Gruyter GmbH & Co KG ISBN: 3110660733 Category : Business & Economics Languages : en Pages : 296
Book Description
Financial data are typically characterised by a time-series and cross-sectional dimension. Accordingly, econometric modelling in finance requires appropriate attention to these two – or occasionally more than two – dimensions of the data. Panel data techniques are developed to do exactly this. This book provides an overview of commonly applied panel methods for financial applications, including popular techniques such as Fama-MacBeth estimation, one-way, two-way and interactive fixed effects, clustered standard errors, instrumental variables, and difference-in-differences. Panel Methods for Finance: A Guide to Panel Data Econometrics for Financial Applications by Marno Verbeek offers the reader: Focus on panel methods where the time dimension is relatively small A clear and intuitive exposition, with a focus on implementation and practical relevance Concise presentation, with many references to financial applications and other sources Focus on techniques that are relevant for and popular in empirical work in finance and accounting Critical discussion of key assumptions, robustness, and other issues related to practical implementation
Author: Oliver Linton Publisher: Cambridge University Press ISBN: 1107177154 Category : Business & Economics Languages : en Pages : 585
Book Description
Presents an up-to-date treatment of the models and methodologies of financial econometrics by one of the world's leading financial econometricians.
Author: Burcu Adıgüzel Mercangöz Publisher: Springer Nature ISBN: 3030541088 Category : Business & Economics Languages : en Pages : 465
Book Description
This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.
Author: Jeffrey M. Wooldridge Publisher: MIT Press ISBN: 0262232588 Category : Business & Economics Languages : en Pages : 1095
Book Description
The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.
Author: Cheng-Few Lee Publisher: Springer ISBN: 1493994298 Category : Business & Economics Languages : en Pages : 655
Book Description
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.
Author: Mike Tsionas Publisher: Academic Press ISBN: 0128144319 Category : Business & Economics Languages : en Pages : 432
Book Description
Panel Data Econometrics: Theory introduces econometric modelling. Written by experts from diverse disciplines, the volume uses longitudinal datasets to illuminate applications for a variety of fields, such as banking, financial markets, tourism and transportation, auctions, and experimental economics. Contributors emphasize techniques and applications, and they accompany their explanations with case studies, empirical exercises and supplementary code in R. They also address panel data analysis in the context of productivity and efficiency analysis, where some of the most interesting applications and advancements have recently been made. Provides a vast array of empirical applications useful to practitioners from different application environments Accompanied by extensive case studies and empirical exercises Includes empirical chapters accompanied by supplementary code in R, helping researchers replicate findings Represents an accessible resource for diverse industries, including health, transportation, tourism, economic growth, and banking, where researchers are not always econometrics experts
Author: A. Colin Cameron Publisher: Cambridge University Press ISBN: 1139444867 Category : Business & Economics Languages : en Pages :
Book Description
This book provides the most comprehensive treatment to date of microeconometrics, the analysis of individual-level data on the economic behavior of individuals or firms using regression methods for cross section and panel data. The book is oriented to the practitioner. A basic understanding of the linear regression model with matrix algebra is assumed. The text can be used for a microeconometrics course, typically a second-year economics PhD course; for data-oriented applied microeconometrics field courses; and as a reference work for graduate students and applied researchers who wish to fill in gaps in their toolkit. Distinguishing features of the book include emphasis on nonlinear models and robust inference, simulation-based estimation, and problems of complex survey data. The book makes frequent use of numerical examples based on generated data to illustrate the key models and methods. More substantially, it systematically integrates into the text empirical illustrations based on seven large and exceptionally rich data sets.
Author: Stan Hurn Publisher: Oxford University Press, USA ISBN: 9780190857066 Category : Finance Languages : en Pages :
Book Description
"An introduction to the field of financial econometrics, focusing on providing an introduction for undergraduate and postgraduate students whose math skills may not be at the most advanced level, but who need this material to pursue careers in research and the financial industry"--
Author: Mohd Ma'Sum Billah Publisher: Routledge ISBN: 1000540189 Category : Business & Economics Languages : en Pages : 414
Book Description
Methods and techniques adopted in teaching, training, learning, research, professional development, or capacity building are generally standardized across most traditional disciplines, particularly within developing countries. This is not the case, however, when it comes to the Islamic disciplines, and, in particular, in relation to the study of Islamic economics and finance, which is influenced by conventional standards and techniques. This is primarily due to the lack of availability of the requisite standards and mechanisms designed within the spirit of Maqsid al-Shari’ah. This book offers a unique resource and a comprehensive overview of the contemporary methods and smart techniques available for teaching, learning, and researching Islamic eco-finance, and it presents solutions to the challenges in implementing them. Further, the book gives deep insight into the most appropriate methodologies that could be employed empirically to explore, model, analyze, and evaluate Islamic finance theories and models, respectively. It also gives recommendations for improving learning, teaching, and research outcomes in Islamic eco-finance. The book also addresses how, in this advanced technological era, smart tools like artificial intelligence, machine learning, big data, Zoom, and the internet of things can be adapted to help equip students, researchers, and scholars with smart skills. The book will enable those studying Islamic economics and finance to grasp the appropriate tools for research and learning. Additionally, the Islamic economics and finance sector is growing at a significant rate and therefore requires the upskilling and capacity building of its human resources; thus, the book will also be highly beneficial for practitioners involved in the industry.
Author: Marno Verbeek
Author: Marno Verbeek
Author: Oliver Linton
Author: Burcu Adıgüzel Mercangöz
Author: Jeffrey M. Wooldridge
Author: Cheng-Few Lee
Author: Mike Tsionas
Author: A. Colin Cameron
Author: Stan Hurn
Author: Mohd Ma'Sum Billah