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E-book
Author Fabozzi, Frank J.

Title The basics of financial econometrics : tools, concepts, and asset management applications / Frank J. Fabozzi, Sergio M. Focardi, Svetlozar T. Rachev, Bala G. Arshanapalli, with the assistance of Markus Hochstotter
Published Hoboken, New Jersey : John Wiley & Sons, Inc., [2014]
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Description 1 online resource (xxi, 428 pages) : illustrations
Series The Frank J. Fabozzi series
Frank J. Fabozzi series.
Contents 880-01 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
880-01 Machine generated contents note: ch. 1 Introduction -- Financial Econometrics at Work -- Data Generating Process -- Applications of Financial Econometrics to Investment Management -- Key Points -- ch. 2 Simple Linear Regression -- Role of Correlation -- Regression Model: Linear Functional Relationship between Two Variables -- Distributional Assumptions of the Regression Model -- Estimating the Regression Model -- Goodness-of-Fit of the Model -- Two Applications in Finance -- Linear Regression of a Nonlinear Relationship -- Key Points -- ch. 3 Multiple Linear Regression -- Multiple Linear Regression Model -- Assumptions of the Multiple Linear Regression Model -- Estimation of the Model Parameters -- Designing the Model -- Diagnostic Check and Model Significance -- Applications to Finance -- Key Points -- ch. 4 Building and Testing a Multiple Linear Regression Model -- Problem of Multicollinearity -- Model Building Techniques -- Testing the Assumptions of the Multiple Linear Regression Model -- Key Points -- ch. 5 Introduction to Time Series Analysis -- What Is a Time Series-- Decomposition of Time Series -- Representation of Time Series with Difference Equations -- Application: The Price Process -- Key Points -- ch. 6 Regression Models with Categorical Variables -- Independent Categorical Variables -- Dependent Categorical Variables -- Key Points -- ch. 7 Quantile Regressions -- Limitations of Classical Regression Analysis -- Parameter Estimation -- Quantile Regression Process -- Applications of Quantile Regressions in Finance -- Key Points -- ch. 8 Robust Regressions -- Robust Estimators of Regressions -- Illustration: Robustness of the Corporate Bond Yield Spread Model -- Robust Estimation of Covariance and Correlation Matrices -- Applications -- Key Points -- ch. 8 Autoregressive Moving Average Models -- Autoregressive Models -- Moving Average Models -- Autoregressive Moving Average Models -- ARMA Modeling to Forecast S&P 500 Weekly Index Returns -- Vector Autoregressive Models -- Key Points -- ch. 10 Cointegration -- Stationary and Nonstationary Variables and Cointegration -- Testing for Cointegration -- Key Points -- ch. 11 Autoregressive Heteroscedasticity Model and Its Variants -- Estimating and Forecasting Volatility -- ARCH Behavior -- GARCH Model -- What Do ARCH/GARCH Models Represent-- Univariate Extensions of GARCH Modeling -- Estimates of ARCH/GARCH Models -- Application of GARCH Models to Option Pricing -- Multivariate Extensions of ARCH/GARCH Modeling -- Key Points -- ch. 12 Factor Analysis and Principal Components Analysis -- Assumptions of Linear Regression -- Basic Concepts of Factor Models -- Assumptions and Categorization of Factor Models -- Similarities and Differences between Factor Models and Linear Regression -- Properties of Factor Models -- Estimation of Factor Models -- Principal Components Analysis -- Differences between Factor Analysis and PCA -- Approximate (Large) Factor Models -- Approximate Factor Models and PCA -- Key Points -- ch. 13 Model Estimation -- Statistical Estimation and Testing -- Estimation Methods -- Least-Squares Estimation Method -- Maximum Likelihood Estimation Method -- Instrumental Variables -- Method of Moments -- M-Estimation Method and M-Estimators -- Key Points -- ch. 14 Model Selection -- Physics and Economics: Two Ways of Making Science -- Model Complexity and Sample Size -- Data Snooping -- Survivorship Biases and Other Sample Defects -- Model Risk -- Model Selection in a Nutshell -- Key Points -- ch. 15 Formulating and Implementing Investment Strategies Using Financial Econometrics -- Quantitative Research Process -- Investment Strategy Process -- Key Points -- Appendix A Descriptive Statistics -- Basic Data Analysis -- Measures of Location and Spread -- Multivariate Variables and Distributions -- Appendix B Continuous Probability Distributions Commonly Used in Financial Econometrics -- Normal Distribution -- Chi-Square Distribution -- Student's t-Distribution -- F -Distribution -- α-Stable Distribution -- Appendix C Inferential Statistics -- Point Estimators -- Confidence Intervals -- Hypothesis Testing -- Appendix D Fundamentals of Matrix Algebra -- Vectors and Matrices Defined -- Square Matrices -- Determinants -- Systems of Linear Equations -- Linear Independence and Rank -- Vector and Matrix Operations -- Eigenvalues and Eigenvectors -- Appendix E Model Selection Criterion: AIC and BIC -- Akaike Information Criterion -- Bayesian Information Criterion -- Appendix F Robust Statistics -- Robust Statistics Defined -- Qualitative and Quantitative Robustness -- Resistant Estimators -- M-Estimators -- Least Median of Squares Estimator -- Least Trimmed of Squares Estimator -- Robust Estimators of the Center -- Robust Estimators of the Spread -- Illustration of Robust Statistics
Summary "An accessible guide to the growing field of financial econometrics ."--Provided by publisher
Bibliography Includes bibliographical references and index
Notes Print version record and CIP data provided by publisher
Subject Econometrics.
Finance -- Econometric models.
Form Electronic book
LC no. 2013046014
ISBN 111857320X
1118727231 (electronic bk.)
1118727436 (electronic bk.)
1306638178
9781118573204
9781118727232 (electronic bk.)
9781118727430 (electronic bk.)
9781306638173
(cloth)