Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures write by G. Gregoriou. This book was released on 2010-12-13. Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures available in PDF, EPUB and Kindle. This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
Financial Econometrics and Empirical Market Microstructure
Financial Econometrics and Empirical Market Microstructure - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Financial Econometrics and Empirical Market Microstructure write by Anil K. Bera. This book was released on 2014-11-18. Financial Econometrics and Empirical Market Microstructure available in PDF, EPUB and Kindle. In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis.
The Econometrics of Financial Markets
The Econometrics of Financial Markets - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook The Econometrics of Financial Markets write by John Y. Campbell. This book was released on 2012-06-28. The Econometrics of Financial Markets available in PDF, EPUB and Kindle. The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.
Market Risk Analysis, Practical Financial Econometrics
Market Risk Analysis, Practical Financial Econometrics - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Market Risk Analysis, Practical Financial Econometrics write by Carol Alexander. This book was released on 2008-05-27. Market Risk Analysis, Practical Financial Econometrics available in PDF, EPUB and Kindle. Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM. Empirical examples and case studies specific to this volume include: Factor analysis with orthogonal regressions and using principal component factors; Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; Simulation of normal mixture and Markov switching GARCH returns; Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; Markov switching regression models (Eviews code); GARCH term structure forecasting with volatility targeting; Non-linear quantile regressions with applications to hedging.
Financial Econometrics
Financial Econometrics - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Financial Econometrics write by Rezvan Pourmansouri. This book was released on 2024-08-09. Financial Econometrics available in PDF, EPUB and Kindle. ‘Financial Econometrics’ is a comprehensive guide to analyze financial data using econometric techniques. The book covers both basic and advanced topics in time series analysis, regression models, and volatility modeling. It also includes chapters on panel data analysis, financial market microstructure, and applications of machine learning in finance. This book is designed for students, researchers, and finance professionals who seek to enhance their skills in financial data analysis and make more accurate predictions. With real-world examples and practical applications, ‘Financial Econometrics’ provides the essential tools for success in financial analysis.
