Linear and Non-Linear Financial Econometrics PDF Download

Author: Mehmet Terzioğlu
Publisher: BoD – Books on Demand
ISBN: 1839624868
Category : Business & Economics
Languages : en
Pages : 339

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Book Description
The importance of experimental economics and econometric methods increases with each passing day as data quality and software performance develops. New econometric models are developed by diverging from earlier cliché econometric models with the emergence of specialized fields of study. This book, which is expected to be an extensive and useful reference by bringing together some of the latest developments in the field of econometrics, also contains quantitative examples and problem sets. We thank all the authors who contributed to this book with their studies that provide extensive and accessible explanations of the existing econometric methods.

Author: Joseph Plasmans
Publisher: Springer Science & Business Media
ISBN: 9780387257600
Category : Business & Economics
Languages : en
Pages : 412

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Book Description
The basic characteristic of Modern Linear and Nonlinear Econometrics is that it presents a unified approach of modern linear and nonlinear econometrics in a concise and intuitive way. It covers four major parts of modern econometrics: linear and nonlinear estimation and testing, time series analysis, models with categorical and limited dependent variables, and, finally, a thorough analysis of linear and nonlinear panel data modeling. Distinctive features of this handbook are: -A unified approach of both linear and nonlinear econometrics, with an integration of the theory and the practice in modern econometrics. Emphasis on sound theoretical and empirical relevance and intuition. Focus on econometric and statistical methods for the analysis of linear and nonlinear processes in economics and finance, including computational methods and numerical tools. -Completely worked out empirical illustrations are provided throughout, the macroeconomic and microeconomic (household and firm level) data sets of which are available from the internet; these empirical illustrations are taken from finance (e.g. CAPM and derivatives), international economics (e.g. exchange rates), innovation economics (e.g. patenting), business cycle analysis, monetary economics, housing economics, labor and educational economics (e.g. demand for teachers according to gender) and many others. -Exercises are added to the chapters, with a focus on the interpretation of results; several of these exercises involve the use of actual data that are typical for current empirical work and that are made available on the internet. What is also distinguishable in Modern Linear and Nonlinear Econometrics is that every major topic has a number of examples, exercises or case studies. By this `learning by doing' method the intention is to prepare the reader to be able to design, develop and successfully finish his or her own research and/or solve real world problems.

Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 111857320X
Category : Business & Economics
Languages : en
Pages : 0

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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: G. Gregoriou
Publisher: Springer
ISBN: 0230295223
Category : Business & Economics
Languages : en
Pages : 216

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Book Description
This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinear models for hedging purposes, and proposes new computational techniques to estimate financial processes.

Author: Philip Rothman
Publisher: Springer Science & Business Media
ISBN: 1461551293
Category : Business & Economics
Languages : en
Pages : 379

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Book Description
Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.

Author: Kian Guan Lim
Publisher: de Gruyter
ISBN: 9783110673852
Category : Business & Economics
Languages : en
Pages : 0

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Book Description
Financial asset pricing is one of the important areas of finance. The book provides an extensive theoretical account of the fundamental concepts and real world perspectives that transform the principles into practical analysis via econometrics. The

Author: Frauke Schleer-van Gellecom
Publisher: Springer Science & Business Media
ISBN: 3642420397
Category : Business & Economics
Languages : en
Pages : 268

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Book Description
In recent years nonlinearities have gained increasing importance in economic and econometric research, particularly after the financial crisis and the economic downturn after 2007. This book contains theoretical, computational and empirical papers that incorporate nonlinearities in econometric models and apply them to real economic problems. It intends to serve as an inspiration for researchers to take potential nonlinearities in account. Researchers should be aware of applying linear model-types spuriously to problems which include non-linear features. It is indispensable to use the correct model type in order to avoid biased recommendations for economic policy.

Author: Christian Gourieroux
Publisher: Princeton University Press
ISBN: 0691088721
Category : Business & Economics
Languages : en
Pages : 528

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Book Description
Practitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors."--BOOK JACKET.

Author: Philip Hans Franses
Publisher: Cambridge University Press
ISBN: 0521770416
Category : Business & Economics
Languages : en
Pages : 299

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Book Description
This 2000 volume reviews non-linear time series models, and their applications to financial markets.

Author: Greg N. Gregoriou
Publisher: Springer
ISBN: 0230295215
Category : Business & Economics
Languages : en
Pages : 214

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Book Description
This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.