Cover
Copyright information
Contents
List of Figures
List of Tables
1 Getting started
1.1 What is Python?
1.2 Different ways to run Python code
1.3 What does a Jupyter NoteBook look like?
1.4 Getting help
2 Data management in Python
2.1 Variables and name rules
2.2 Whitespace
2.3 Comments
2.4 Mathematical operations
2.5 Two libraries: Pandas and NumPy
2.6 Data input and saving
2.7 Data description and calculation
2.8 An example: calculating summary statistics for house prices
2.9 Plots
2.10 Saving data and results
3 Simple linear regression - estimation of an optimal hedge ratio
4 Hypothesis testing - Example 1: hedging revisited
5 Estimation and hypothesis testing - Example 2: the CAPM
6 Sample output for multiple hypothesis tests
7 Multiple regression using an APT-style model
7.1 Stepwise regression
8 Quantile regression
9 Calculating principal components
10 Diagnostic testing
10.1 Testing for heteroscedasticity
10.2 Using White's modified standard error estimates
10.3 The Newey-West procedure for estimating standard errors
10.4 Autocorrelation and dynamic models
10.5 Testing for non-normality
10.6 Dummy variable construction and use
10.7 Multicollinearity
10.8 The RESET test for functional form
10.9 Stability tests
11 Constructing ARMA models
12 Forecasting using ARMA models
13 Estimating exponential smoothing models
14 Simultaneous equations modelling
15 The Generalised method of moments for instrumental variables
16 VAR estimation
17 Testing for unit roots
18 Cointegration tests and modelling cointegrated systems
19 Volatility modelling
19.1 Testing for 'ARCH effects' in exchange rate returns
19.2 Estimating GARCH models
19.3 GJR and EGARCH models
19.4 Forecasting from GARCH models
20 Modelling seasonality in financial data
20.1 Dummy variables for seasonality
20.2 Estimating Markov switching models
21 Panel data models
22 Limited dependent variable models
23 Simulation methods
23.1 Deriving critical values for a Dickey-Fuller test using simulation
23.2 Pricing Asian options
23.3 VaR estimation using bootstrapping
24 The Fama-MacBeth procedure
25 Using extreme value theory for VaR calculation
References