Data Science for Financial Econometrics, Ngoc Thach, Nguyen, Kreinovich, Vladik, Trung, Ngu
Автор: Angrist, J.d. Pischke, Jorn-steffen Название: Mostly harmless econometrics ISBN: 0691120358 ISBN-13(EAN): 9780691120355 Издательство: Wiley Рейтинг: Цена: 7128.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Shows how the basic tools of applied econometrics allow the data to speak. This book covers regression-discontinuity designs and quantile regression - as well as how to get standard errors right. It is suitable for various areas in contemporary social science.
Автор: Campbell John Y. Название: Financial Decisions and Markets: A Course in Asset Pricing ISBN: 0691160805 ISBN-13(EAN): 9780691160801 Издательство: Wiley Рейтинг: Цена: 12672.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
From the field's leading authority, the most authoritative and comprehensive advanced-level textbook on asset pricing
Financial Decisions and Markets is a graduate-level textbook that provides a broad overview of the field of asset pricing. John Campbell, one of the field's most respected authorities, introduces students to leading theories of portfolio choice, their implications for asset prices, and empirical patterns of risk and return in financial markets. Campbell emphasizes the interplay of theory and evidence, as theorists respond to empirical puzzles by developing models with new testable implications. Increasingly these models make predictions not only about asset prices but also about investors' financial positions, and they often draw on insights from behavioral economics.
After a careful introduction to single-period models, Campbell develops multiperiod models with time-varying discount rates, reviews the leading approaches to consumption-based asset pricing, and integrates the study of equities and fixed-income securities. He discusses models with heterogeneous agents who use financial markets to share their risks, but also may speculate against one another on the basis of different beliefs or private information. Campbell takes a broad view of the field, linking asset pricing to related areas, including financial econometrics, household finance, and macroeconomics. The textbook works in discrete time throughout, and does not require stochastic calculus. Problems are provided at the end of each chapter to challenge students to develop their understanding of the main issues in financial economics.
The most comprehensive and balanced textbook on asset pricing available, Financial Decisions and Marketswill be an essential resource for all graduate students in finance and related fields.
Integrated treatment of asset pricing theory and empirical evidence
Emphasis on investors' decisions
Broad view linking the field to areas including financial econometrics, household finance, and macroeconomics
Topics treated in discrete time, with no requirement for stochastic calculus
Solutions manual for problems available to professors
Автор: Dougherty Christopher Название: Introduction to Econometrics, 5 ed. ISBN: 0199676828 ISBN-13(EAN): 9780199676828 Издательство: Oxford Academ Рейтинг: Цена: 12037.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Combining the rigour of econometric theory with an accessible style, Dougherty`s step by step explanations and relevant practical exercises ensure students develop an intuitive understanding of econometrics, and gain hands-on experience of the tools used in economic and financial forecasting.
Автор: Easton, Wild, Halsey, McAnally Название: Financial Accounting for MBAs, 8e ISBN: 1618533584 ISBN-13(EAN): 9781618533586 Издательство: Amazon Internet Цена: 48331.00 р. Наличие на складе: Невозможна поставка.
Автор: Linton Oliver Название: Financial Econometrics: Models and Methods ISBN: 1316630331 ISBN-13(EAN): 9781316630334 Издательство: Cambridge Academ Рейтинг: Цена: 8237.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This thorough exploration of the models and methods of financial econometrics is written by one of the world`s leading financial econometricians. The up-to-date content covers developments in econometrics and finance over the last twenty years while ensuring a solid grounding in the fundamental principles of the subject.
Автор: Lee, Cheng-Few, Chen, Hong-Yi, Lee, John Название: Financial Econometrics, Mathematics and Statistics ISBN: 1493994271 ISBN-13(EAN): 9781493994274 Издательство: Springer Рейтинг: Цена: 25155.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research.
Автор: Hautsch, Nikolaus Название: Econometrics of Financial High-Frequency Data ISBN: 3642219241 ISBN-13(EAN): 9783642219245 Издательство: Springer Рейтинг: Цена: 25853.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.
Описание: De Gruyter Studies in the Practice of Econometrics is a new series of books aimed at researchers showing how different econometric techniques can be used in their field focusing on practical relevance. Critical reviews of existing approaches are combined with expert advice.
Автор: Nikolaus Hautsch Название: Econometrics of Financial High-Frequency Data ISBN: 3642427723 ISBN-13(EAN): 9783642427725 Издательство: Springer Рейтинг: Цена: 23757.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models.
Financial data are typically characterised by a time-series dimension and a cross-sectional dimension. For example, we may observe financial information on a group of firms over a number of years, or we may observe returns of all stocks traded at NYSE over a period of 120 months. Accordingly, econometric modelling in finance requires appropriate attention to these two -- or occasionally more than two -- dimensions of the data. Panel data techniques are developed to do exactly this. This book provides an overview of commonly applied panel methods for financial applications.
The use of panel data has many advantages, in terms of the flexibility of econometric modeling and the ability to control for unobserved heterogeneity. It also involves a number of econometric issues that require specific attention. This includes cross-sectional dependence, robust and clustered standard errors, parameter heterogeneity, fixed effects, dynamic models with a short time dimension, instrumental variables, differences-in-differences and other approaches for causal inference.
After an introductory chapter reviewing the classical linear regression model with particular attention to its use in a panel data context, including several standard estimators (pooled OLS, Fama-MacBeth, random effects, first-differences, fixed effects), the book continues with a more elaborate treatment of fixed effects approaches. While first-differencing and fixed effects estimators are attractive because of their removal of time-invariant unobserved heterogeneity (e.g. manager quality, firm culture), consistency of such estimators imposes strict exogeneity of the explanatory variables (for a finite number of time periods). This is often violated in practice, for example, some explanatory variable explaining firm performance may be partly determined by historical firm performance. An obvious case where this assumption is violated arises when the model contains a lagged dependent variable. A separate chapter will focus on dynamic models, which have received specific attention in the literature, also in the context of financial applications, like the dynamics of capital structure choices. Estimation mostly relies on instrumental variables or GMM techniques. Identification and estimation of such models is often fragile, and the small sample properties may be disappointing.
The book continues with a chapter on models with limited dependent variables, including binary response models. The cross-sectional dependence that is likely to be present complicates estimation, and the author discusses pooled estimation, random effects and fixed effects approaches, including the possibility to include lagged dependent variables. This chapter will also discuss problems of attrition and sample selection bias, as well as unbalanced panels in general.
Identifying causal effects in empirical work based on non-experimental data is often challenging, and causal inference has received substantial attention in the recent literature. The availability of panel data plays an important role in many approaches. Starting with simple differences-in-differences approaches, a dedicated chapter discusses instrumental variables estimators, matching and propensity scores, regression discontinuity and related approaches.
Автор: Lee, Myoung-jae Название: Micro-Econometrics for Policy, Program and Treatment Effects ISBN: 0199267693 ISBN-13(EAN): 9780199267699 Издательство: Oxford Academ Рейтинг: Цена: 7681.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This is one of the first books to provide a textbook exposition of the literature on how to measure accurately the `effects` of a `treatment`, such as a drug, educational programme, or tax regime, on a response variable like an illness, GPA, or income. The book focuses on non-experimental, microeconometric estimation.
Автор: Goldberger, Arthur S. Название: A Course in Econometrics ISBN: 0674175441 ISBN-13(EAN): 9780674175440 Издательство: Wiley Рейтинг: Цена: 13298.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This text prepares first-year graduate students and advanced undergraduates for empirical research in economics, and also equips them for specialization in econometric theory, business, and sociology.
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