The basics of financial econometrics : [electronic resource] tools, concepts, and asset management applications / Frank J Fabozzi and 4 others.
Material type: TextSeries: Publication details: Hoboken, New Jersey : John Wiley & Sons, Inc., 2014.Description: 1 online resource (xxi, 428 pages) : illustrationsISBN:- 9781118727430
Item type | Current library | Call number | Status | Date due | Barcode | |
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E-Resources | Main Library E-Resources | 330.015195 F121 (Browse shelf(Opens below)) | Available | E004584 |
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330.015195 As798 An introduction to mathematics for economics / | 330.015195 B197 Econometrics | 330.015195 D535 Introductory Econometrics / | 330.015195 F121 The basics of financial econometrics : tools, concepts, and asset management applications / | 330.015195 F841 Business statistics for competitive advantage with Excel 2016 : basics, model building, simulation and cases. | 330.015195 N496 Time series econometrics / | 330.015195 W913 Introductory econometrics : a modern approach / |
Simple Linear Regression -- Multiple Linear Regression -- Building and Testing a Multiple Linear Regression Model -- Introduction to Time Series Analysis -- Regression Models with Categorical Variables -- Quantile Regressions -- Robust Regressions -- Autoregressive Moving Average Models -- Cointegration -- Autoregressive Heteroscedasticity Model and Its Variants -- Factor Analysis and Principal Components Analysis -- Model Estimation -- Model Selection -- Formulating and Implementing Investment Strategies Using Financial Econometrics -- Appendix A: Descriptive Statistics -- Appendix B: Continuous Probability Distributions Commonly Used in Financial Econometrics -- Appendix C: Inferential Statistics -- Appendix D: Fundamentals of Matrix Algebra -- Appendix E: Model Selection Criterion: AIC and BIC -- Appendix F: Robust Statistics.
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.
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