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Author: Kian Guan Lim Publisher: World Scientific Publishing Company ISBN: 981464403X Category : Business & Economics Languages : en Pages : 604
Book Description
This book is an introduction to financial valuation and financial data analyses using econometric methods. It is intended for advanced finance undergraduates and graduates. Most chapters in the book would contain one or more finance application examples where finance concepts, and sometimes theory, are taught.This book is a modest attempt to bring together several important domains in financial valuation theory, in econometrics modelling, and in the empirical analyses of financial data. These domains are highly intertwined and should be properly understood in order to correctly and effectively harness the power of data and statistical or econometrics methods for investment and financial decision-making.The contribution in this book, and at the same time, its novelty, is in employing materials in basic econometrics, particularly linear regression analyses, and weaving into it threads of foundational finance theory, concepts, ideas, and models. It provides a clear pedagogical approach to allow very effective learning by a finance student who wants to be well equipped in both theory and ability to research the data.This is a handy book for finance professionals doing research to easily access the key techniques in data analyses using regression methods. Students learn all 3 skills at once — finance, econometrics, and data analyses. It provides for very solid and useful learning for advanced undergraduate and graduate students who wish to work in financial analyses, risk analyses, and financial research areas.
Author: Kian Guan Lim Publisher: World Scientific Publishing Company ISBN: 981464403X Category : Business & Economics Languages : en Pages : 604
Book Description
This book is an introduction to financial valuation and financial data analyses using econometric methods. It is intended for advanced finance undergraduates and graduates. Most chapters in the book would contain one or more finance application examples where finance concepts, and sometimes theory, are taught.This book is a modest attempt to bring together several important domains in financial valuation theory, in econometrics modelling, and in the empirical analyses of financial data. These domains are highly intertwined and should be properly understood in order to correctly and effectively harness the power of data and statistical or econometrics methods for investment and financial decision-making.The contribution in this book, and at the same time, its novelty, is in employing materials in basic econometrics, particularly linear regression analyses, and weaving into it threads of foundational finance theory, concepts, ideas, and models. It provides a clear pedagogical approach to allow very effective learning by a finance student who wants to be well equipped in both theory and ability to research the data.This is a handy book for finance professionals doing research to easily access the key techniques in data analyses using regression methods. Students learn all 3 skills at once — finance, econometrics, and data analyses. It provides for very solid and useful learning for advanced undergraduate and graduate students who wish to work in financial analyses, risk analyses, and financial research areas.
Author: Frank J. Fabozzi Publisher: John Wiley & Sons ISBN: 1118727231 Category : Business & Economics Languages : en Pages : 448
Book Description
An accessible guide to the growing field of financial econometrics As finance and financial products have become more complex, financial econometrics has emerged as a fast-growing field and necessary foundation for anyone involved in quantitative finance. The techniques of financial econometrics facilitate the development and management of new financial instruments by providing models for pricing and risk assessment. In short, financial econometrics is an indispensable component to modern finance. The Basics of Financial Econometrics covers the commonly used techniques in the field without using unnecessary mathematical/statistical analysis. It focuses on foundational ideas and how they are applied. Topics covered include: regression models, factor analysis, volatility estimations, and time series techniques. Covers the basics of financial econometrics—an important topic in quantitative finance Contains several chapters on topics typically not covered even in basic books on econometrics such as model selection, model risk, and mitigating model risk Geared towards both practitioners and finance students who need to understand this dynamic discipline, but may not have advanced mathematical training, this book is a valuable resource on a topic of growing importance.
Author: Ruey S. Tsay Publisher: ISBN: 9788126523696 Category : Languages : en Pages : 628
Book Description
Market_Desc: Ideal as a fundamental introduction to time series for MBA students or as a reference for researchers and practitioners in business and finance Special Features: · Timely topics and recent results include: Value at Risk (VaR); high-frequency financial data analysis; MCMC methods; derivative pricing using jump diffusion with closed-form formulas; VaR calculation using extreme value theory based on nonhomogeneous two-dimensional Poisson process; and multivariate volatility models with time-varying correlations.· New topics to this edition include: Finmetrics in S-plus; estimation of stochastic diffusion equations for derivative pricing; use of realized volatilities; state=space model; and Kalman filter.· The second edition also includes new developments in financial econometrics and more examples of applications in finance.· Emphasis is placed on empirical financial data.· Chapter exercises have been increased in an effort to further reinforce the methods and applications in the text. About The Book: This book provides a comprehensive and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: analysis and application of univariate financial time series; the return series of multiple assets; and Bayesian inference in finance methods. The overall objective of the book is to provide some knowledge of financial time series, introduce some statistical tools useful for analyzing these series, and gain experience in financial applications of various econometric methods.
Author: Peijie Wang Publisher: Routledge ISBN: 1134091451 Category : Business & Economics Languages : en Pages : 336
Book Description
This book provides an essential toolkit for all students wishing to know more about the modelling and analysis of financial data. Applications of econometric techniques are becoming increasingly common in the world of finance and this second edition of an established text covers the following key themes:- unit roots, cointegration and other develop
Author: Yacine Ait-Sahalia Publisher: Elsevier ISBN: 9780080929842 Category : Business & Economics Languages : en Pages : 808
Book Description
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 Aït-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. Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections
Author: Harold L. Vogel Publisher: Springer ISBN: 3319715283 Category : Business & Economics Languages : en Pages : 477
Book Description
Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, and equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and can also be defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.
Author: Carol Alexander Publisher: John Wiley & Sons ISBN: 0470998016 Category : Business & Economics Languages : en Pages : 437
Book Description
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.
Author: Z. Christopher Mercer Publisher: John Wiley & Sons ISBN: 0470178663 Category : Business & Economics Languages : en Pages : 291
Book Description
Praise for Business Valuation: An Integrated Theory, 2nd Edition "The Second Edition of Business Valuation: An Integrated Theory manages to present the theoretical analysis of valuation from the first edition and expand on that discussion by providing additional guidance on implementing the relevant valuation theories, notably in its expanded discussion of the Quantitative Marketability Discount Model." —Dr. David Tabak, NERA Economic Consulting Your Essential Valuations Reference Whether you are an accountant, auditor, financial planner, or attorney, Business Valuation: An Integrated Theory, 2nd Edition enables you to understand and correctly apply fundamental valuation concepts. Thoroughly revised and expanded, the Second Edition demystifies modern valuation theory, bringing together various valuation concepts to reveal a comprehensive picture of business valuation. With the implementation of new accounting pronouncements mandating the recognition of numerous assets and liabilities at fair value, it has become critical for CPAs charged with auditing financial statements to understand valuation concepts. With thoughtful and balanced treatment of both theory and application, this essential guide reveals: The "GRAPES of Value"-Growth, Risk and Reward, Alternative Investments, Present Value, Expectations, and Sanity The relationship between the Gordon Model and the discounted cash flow model of valuation The basis for commonly applied, but commonly misunderstood valuation premiums and discounts A practical perspective on the analysis of potential business acquisitions Grounded in the real world of market participants, Business Valuation, 2nd Edition addresses your need to understand business valuation, providing a means of articulating valuation concepts to help you negotiate value-enhancing transactions. If you want to get back to valuation basics, this useful reference will become your guide to defining the various levels of value and developing a better understanding of business appraisal reports.
Author: John Y. Campbell Publisher: Princeton University Press ISBN: 1400830214 Category : Business & Economics Languages : en Pages : 630
Book Description
The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.
Author: Kian Guan Lim
Author: Kian Guan Lim
Author: Kian Guan Lim
Author: Frank J. Fabozzi
Author: Ruey S. Tsay
Author: Peijie Wang
Author: Yacine Ait-Sahalia
Author: Harold L. Vogel
Author: Carol Alexander
Author: Z. Christopher Mercer
Author: John Y. Campbell