Financial Econometrics: An Example-Based Handbook

Name: Financial Econometrics: An Example-Based Handbook
SKU: 15331
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Anokye Mohammed Adam, Ph.D.
University of Cape Coast, Cape Coast, Ghana

Peterson Owusu Junior
Department of Business Administration, Westend University College, Accra, Ghana

Series: Economic Issues, Problems and Perspectives
BISAC: BUS001010

Financial modelling – and for that matter, quantitative finance – is a very crucial area of study for the decision makers to make informed and robust choices in matters of interest to the growth and survival of their organisations. Thus, the skills and knowledge (at least, in this book) must be possessed by every finance professional; risk analysts, quantitative analysts, asset and portfolio managers, compliance officers, Forex and Contract for Difference (CFD) traders, etc. Econometric and statistical models employed in financial modelling are too many to be captured under this course. The econometric models captured in this book are for the purposes of fostering understanding, appreciation, and the reality of the mathematics beneath the topics in econometrics. Broadly speaking, this book covers the various facets of regression models in this important field. Diagnostics on the linear regression model, Logit and Probit (Categorical Dependent Variable Models), Stationary and Non-Stationary Time Series, Cointegration and Error Correction Models (ECM), Autoregressive Distributed Lag (ARDL) Models, forecasting with ARIMA and Vector Autoregression (VAR) models, Panel Data Regression Models, and finally Asset Price/Return Volatility: ARCH and GARCH Models are illustrated for easy comprehension. (Imprint: Nova)

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ISBN: N/A Categories: Business and Economics, Econometrics, Economic Issues, Problems and Perspectives, Economics, Social Sciences Tags: 9781536123319, 9781536123784, Econometrics

Table of Contents
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Table of Contents

Preface

Chapter 1. Financial Modelling (pp. 1-24)

Chapter 2. Linear Regression Models (pp. 25-40)

Chapter 3. Regression Diagnostics (pp. 41-98)

Chapter 4. Categorical Variable Models (pp. 99-124)

Chapter 5. Stationary and Non-Stationary Time Series (pp. 125-200)

Chapter 6. Dynamic Models II (pp. 201-256)

Chapter 7. Panel Data Regression Models (Pooling and Panel Estimation) (pp. 257-290)

Chapter 8. Asset Price and Return Volatility (pp. 291-314)

Reference

About the Authors

Index (pp. 327)

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