Applied Financial Econometrics: Theory, Method and Applications

✍ Scribed by Moinak Maiti

• Publisher: Palgrave Macmillan
• Year: 2021
• Tongue: English
• Leaves: 305
• Edition: 1
• Category: Library

✦ Synopsis

This textbook gives students an approachable, down to earth resource for the study of financial econometrics. While the subject can be intimidating, primarily due to the mathematics and modelling involved, it is rewarding for students of finance and can be taught and learned in a straightforward way. This book, going from basics to high level concepts, offers knowledge of econometrics that is intended to be used with confidence in the real world. This book will be beneficial for both students and tutors who are associated with econometrics subjects at any level.

✦ Table of Contents

Preface
Acknowledgements
About This Book
Praise For Applied Financial Econometrics
Contents
About the Author
Abbreviations
List of Figures
List of Tables
1 Introduction
1.1 Background
1.2 Steps to Be Followed in Applied Financial Econometrics Study
1.2.1 Problem Definition or Statement
1.2.2 Selection of Variables
1.2.3 Model Description
1.2.4 Selection of Methods or Techniques
1.2.5 Result Estimation
1.2.6 Interpretation and Validation
1.2.7 Conclusion and Research Implications
1.3 Fundamental Data Types Used in Financial Econometrics Study
1.3.1 Cross-Sectional Data
1.3.2 Time Series Data
1.3.3 Pooled Data
1.3.4 Panel Data
1.4 Software Packages
1.4.1 EViews
1.4.1.1 EViews in Action
1.4.2 R Programming
1.4.2.1 R in Action
1.5 Exercises
1.5.1 Multiple Choice Questions
1.5.2 Fill in the Blanks
1.5.3 Long Answer Questions
1.5.4 Real-World Tasks
1.5.5 Case Studies
2 Random Walk Hypothesis
2.1 Background
2.1.1 What Is Random Walk Hypothesis and Its Implications?
2.1.2 Efficient Market Hypothesis
2.1.3 Random Walk Hypothesis and Martingales
2.1.4 Illustrations of Random Walk Models
2.1.4.1 Random Walk Model with a Fixed Drifts
2.1.4.2 Random Walk Model with Random Drifts
2.2 Finance in Action
2.2.1 EViews Stepwise Implementations
2.3 Exercises
2.3.1 Multiple Choice Questions
2.3.2 Fill in the Blanks
2.3.3 Long Answer Questions
2.3.4 Real-World Tasks
2.3.5 Case Studies
References
3 Geometric Brownian Motion
3.1 Background
3.2 Finance in Action
3.3 Exercises
3.3.1 Multiple Choice Questions
3.3.2 Fill in the Blanks
3.3.3 Long Answer Questions
3.3.4 Real-World Tasks
3.3.5 Case Studies
4 Efficient Frontier and Portfolio Optimization
4.1 Background
4.1.1 Mean-Variance Efficient Frontier
4.1.2 Portfolio Optimization
4.1.3 Capital Market Line and Mean Variance Efficient Frontier
4.2 Finance in Action
4.3 Exercises
4.3.1 Multiple Choice Questions
4.3.2 Fill in the Blanks
4.3.3 Long Answer Questions
4.3.4 Real-World Tasks
4.3.5 Case Studies
References
5 Introduction to Asset Pricing Factor Models
5.1 Background
5.1.1 What Is So Special About Fama and French (1993) Three Factor Asset Pricing Model?
5.1.2 Econometrics of Linear Factor Pricing Models
5.1.3 How to Test One Model Versus the Other
5.1.4 Panel Regression
5.2 Finance in Action
5.2.1 Illustration on Implementation of the Asset Pricing Models
5.2.2 Illustration on Testing the Asset Pricing Models Performance
5.2.3 Illustration on Panel Regression Model
5.3 Exercises
5.3.1 Multiple Choice Questions
5.3.2 Fill in the Blanks
5.3.3 Long Answer Questions
5.3.4 Real-World Tasks
5.3.5 Case Studies
References
6 Risk Analysis
6.1 Background
6.1.1 ARIMA
6.1.2 ARCH & GARCH
6.1.3 VAR
6.2 Finance in Action
6.3 Exercises
6.3.1 Multiple Choice Questions
6.3.2 Fill in the Blanks
6.3.3 Long Answer Questions
6.3.4 Real-World Tasks
6.3.5 Case Studies
References
7 Introduction to Fat Tails
7.1 Background
7.2 Finance in Action
7.3 Exercises
7.3.1 Multiple Choice Questions
7.3.2 Fill in the Blanks
7.3.3 Long Answer Questions
7.3.4 Real-World Tasks
7.3.5 Case Studies
References
8 Threshold Autoregression
8.1 Background
8.2 Finance in Action
8.3 EViews Implementation and Interpretations
8.3.1 Data
8.3.2 Methodology
8.3.3 Test of Stationarity
8.3.4 BDS Test for Independence
8.3.5 Threshold Autoregression
8.3.6 Stepwise Implementation and Interpretations
8.4 Exercises
8.4.1 Multiple Choice Questions
8.4.2 Fill in the Blanks
8.4.3 Long Answer Questions
8.4.4 Real-World Tasks
8.4.5 Case Study
References
9 Introduction to Wavelets
9.1 Background
9.2 Finance in Action
9.3 Exercises
9.3.1 Multiple Choice Questions
9.3.2 Fill in the Blanks
9.3.3 Long Answer Questions
9.3.4 Real-World Tasks
9.3.5 Case Studies
References
Index