Financial Econometrics, Mathematics and Statistics
Theory, Method and Application
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Beschreibung
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 illustrates 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 offers insight into the following models and topics, among others:
• Multiple linear regression
• Time-series analysis
• Option pricing models
• Risk management
• Heteroskedasticity
• Itô’s Calculus
• Spurious regression
• Errors-in-variable
* Organizes a dynamic presentation of concepts from C.F. Lee's earlier successful handbook ideal for any advanced applied econometrics and statistics course
* Covers topics such as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments.
* Contains in-depth examples and problem sets modeled after "real world" financial analysis
Organizes a dynamic presentation of concepts from C.F. Lee's earlier successful handbook ideal for any advanced applied econometrics and statistics course Covers topics such as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments. Contains in-depth examples and problem sets modeled after "real world" financial analysis
Autor*in
Cheng-Few Lee
Themen in »Financial Econometrics, Mathematics and Statistics«
Financial Econometrics and Statistics Textbook Panel Data Analysis Simultaneous Equation Models Single Equation Regression Methods Statistical Distributions Time Series Analysis option pricing model multiple regression capital asset pricing model Monte Carlo simulations maximum likelihood method heteroscedasticity asset allocation autoregressive forecasting model Holt-Winters forecasting model
Stimmen zu »Financial Econometrics, Mathematics and Statistics«
“The main readers of the book are seen as upper-undergraduate and graduate students in finance, economics, and statistics. But practitioners in financial analysis will find much use in this. The book contains many examples of statistical analysis of data, both hypothetical and real; computational implementation codes for various algorithms … . All these features and themes, as well as a rigorous explanation make this book an exclusive item in the sector of education and professional literature.” (Vladimir Gorbunov, zbMATH 1460.62001, 2021)
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