Journal of Empirical Finance
Author :
Publisher :
Page : 658 pages
File Size : 44,90 MB
Release : 2002
Category : Econometrics
ISBN :
Author :
Publisher :
Page : 658 pages
File Size : 44,90 MB
Release : 2002
Category : Econometrics
ISBN :
Author : Robert Sollis
Publisher : John Wiley & Sons
Page : 360 pages
File Size : 48,26 MB
Release : 2012-02-06
Category : Business & Economics
ISBN : 047051289X
Empirical Finance for Finance and Banking provides the student with a relatively non-technical guide to some of the key topics in finance where empirical methods play an important role Written for students taking Master’s degrees in finance and banking, it is also suitable for students and researchers in other areas, including economics. The first three introductory chapters outline the structure of the book and review econometric and statistical techniques, while the remaining chapters discuss various topics, including: portfolio theory and asset allocation, asset pricing and factor models, market efficiency, modelling and forecasting exchange and interest rates and Value at Risk. Understanding these topics and the methods covered will be helpful for students interested in working as analysts and researchers in financial institutions.
Author : Shigeyuki Hamori
Publisher : MDPI
Page : 276 pages
File Size : 17,16 MB
Release : 2019-03-25
Category : Business & Economics
ISBN : 3038977063
There is no denying the role of empirical research in finance and the remarkable progress of empirical techniques in this research field. This Special Issue focuses on the broad topic of “Empirical Finance” and includes novel empirical research associated with financial data. One example includes the application of novel empirical techniques, such as machine learning, data mining, wavelet transform, copula analysis, and TV-VAR, to financial data. The Special Issue includes contributions on empirical finance, such as algorithmic trading, market efficiency, market microstructure, portfolio theory and asset allocation, asset pricing models, liquidity risk premium, currency crisis, return predictability, and volatility modeling.
Author :
Publisher :
Page : 1096 pages
File Size : 33,44 MB
Release : 1997
Category : Econometrics
ISBN :
Author : Neil Kellard
Publisher :
Page : pages
File Size : 29,22 MB
Release : 2016
Category :
ISBN :
Author : Adrian R. Bell
Publisher : Edward Elgar Publishing
Page : 494 pages
File Size : 48,22 MB
Release : 2013-01-01
Category : Business & Economics
ISBN : 0857936093
This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered. The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.
Author : Sardar M. N. Islam
Publisher : Springer Science & Business Media
Page : 208 pages
File Size : 34,14 MB
Release : 2012-12-06
Category : Business & Economics
ISBN : 3790826669
This book makes two key contributions to empirical finance. First it provides a comprehensive analysis of the Thai stock market. Second it presents an excellent exposition ofhow modem econometric techniques can be utilised to understand a market. The increasing globalisation of the world's financial markets has made our un derstanding of the risk-return relationship in a broader range of markets critical. This is particularly so in emerging markets where market depth and liquidity are major issues. One such emerging market is Thailand. The Thai capital market isof particular interest given that it was the market in which the Asian financial crises commenced. As such an understanding ofthe Thai capital market via study of the pre and post-crisis periods enables one to shed light on one of the major financial markets events of recent times. This book provides a quantitative analysis of the Thai capital market using some very useful and recent econometric techniques. The book provides an over view of the Thai stock market in chapter 2. Descriptive statistics and time series models (moving average, exponential smoothing, ARIMA) are presented in chap ter 3 followed by market efficiency tests based on autocorrelations in chapter 4. A richer set of models is then considered in chapters 5 through 8. Chapter 5 finds a cointegrating relationship between macroeconomic factors and stock returns.
Author : Philip Hans Franses
Publisher : Cambridge University Press
Page : 299 pages
File Size : 10,72 MB
Release : 2000-07-27
Category : Business & Economics
ISBN : 0521770416
This 2000 volume reviews non-linear time series models, and their applications to financial markets.
Author : Franz C. Palm
Publisher :
Page : 184 pages
File Size : 37,68 MB
Release : 2006
Category :
ISBN :
Author : Wayne Ferson
Publisher : MIT Press
Page : 497 pages
File Size : 27,79 MB
Release : 2019-03-12
Category : Business & Economics
ISBN : 0262039370
An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.