Handbook of Financial Econometrics

Handbook of Financial Econometrics
Author: Yacine Ait-Sahalia,Lars Peter Hansen
Publsiher: Elsevier
Total Pages: 808
Release: 2009-10-19
ISBN 10: 9780080929842
ISBN 13: 0080929842
Language: EN, FR, DE, ES & NL

Handbook of Financial Econometrics Book Review:

This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections

Handbook of Financial Econometrics

Handbook of Financial Econometrics
Author: Yacine Ait-Sahalia,Lars Peter Hansen
Publsiher: Elsevier
Total Pages: 384
Release: 2009-10-21
ISBN 10: 9780444535498
ISBN 13: 0444535497
Language: EN, FR, DE, ES & NL

Handbook of Financial Econometrics Book Review:

Applied financial econometrics subjects are featured in this second volume, with papers that survey important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. A landmark in its coverage, this volume should propel financial econometric research for years. Presents a broad survey of current research Contributors are leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections

Handbook of Research on Emerging Theories Models and Applications of Financial Econometrics

Handbook of Research on Emerging Theories  Models  and Applications of Financial Econometrics
Author: Burcu Adıgüzel Mercangöz
Publsiher: Springer Nature
Total Pages: 457
Release: 2021-02-17
ISBN 10: 3030541088
ISBN 13: 9783030541088
Language: EN, FR, DE, ES & NL

Handbook of Research on Emerging Theories Models and Applications of Financial Econometrics Book Review:

This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.

Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes

Handbook Of Financial Econometrics  Mathematics  Statistics  And Machine Learning  In 4 Volumes
Author: Cheng-few Lee,John C Lee
Publsiher: World Scientific
Total Pages: 5056
Release: 2020-07-30
ISBN 10: 9811202400
ISBN 13: 9789811202407
Language: EN, FR, DE, ES & NL

Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes Book Review:

This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Handbook in Monte Carlo Simulation

Handbook in Monte Carlo Simulation
Author: Paolo Brandimarte
Publsiher: John Wiley & Sons
Total Pages: 688
Release: 2014-06-20
ISBN 10: 1118594517
ISBN 13: 9781118594513
Language: EN, FR, DE, ES & NL

Handbook in Monte Carlo Simulation Book Review:

An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization. The Handbook in Monte Carlo Simulation features: An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentials Carefully crafted examples in order to spot potential pitfalls and drawbacks of each approach An accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methods Numerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentation The Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.

Handbook of Research Methods and Applications in Empirical Finance

Handbook of Research Methods and Applications in Empirical Finance
Author: Adrian R. Bell,Chris Brooks,Marcel Prokopczuk
Publsiher: Edward Elgar Publishing
Total Pages: 504
Release: 2013-01-01
ISBN 10: 0857936093
ISBN 13: 9780857936097
Language: EN, FR, DE, ES & NL

Handbook of Research Methods and Applications in Empirical Finance Book Review:

This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered. The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.

Financial Econometrics Mathematics and Statistics

Financial Econometrics  Mathematics and Statistics
Author: Cheng-Few Lee,Hong-Yi Chen,John Lee
Publsiher: Springer
Total Pages: 655
Release: 2019-06-03
ISBN 10: 1493994298
ISBN 13: 9781493994298
Language: EN, FR, DE, ES & NL

Financial Econometrics Mathematics and Statistics Book Review:

This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics introduces tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting financial accounting research. Divided into four parts, the text begins with topics related to regression and financial econometrics. Subsequent sections describe time-series analyses; the role of binomial, multi-nomial, and log normal distributions in option pricing models; and the application of statistics analyses to risk management. The real-world applications and problems offer students a unique insight into such topics as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments. Written by leading academics in the quantitative finance field, allows readers to implement the principles behind financial econometrics and statistics through real-world applications and problem sets. This textbook will appeal to a less-served market of upper-undergraduate and graduate students in finance, economics, and statistics. ​

Handbook of Financial Econometrics and Statistics

Handbook of Financial Econometrics and Statistics
Author: Cheng-Few Lee,John C. Lee
Publsiher: Springer
Total Pages: 2897
Release: 2014-11-14
ISBN 10: 9781461477518
ISBN 13: 1461477514
Language: EN, FR, DE, ES & NL

Handbook of Financial Econometrics and Statistics Book Review:

​The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.​

Financial Macro and Micro Econometrics Using R

Financial  Macro and Micro Econometrics Using R
Author: Anonim
Publsiher: Elsevier
Total Pages: 349
Release: 2020-01-25
ISBN 10: 0128202513
ISBN 13: 9780128202517
Language: EN, FR, DE, ES & NL

Financial Macro and Micro Econometrics Using R Book Review:

Financial, Macro and Micro Econometrics Using R, Volume 42, provides state-of-the-art information on important topics in econometrics, including multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, financial market jumps and co-jumps, among other topics. Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society Includes descriptions and links to resources and free open source R Gives readers what they need to jumpstart their understanding on the state-of-the-art

Handbook of Empirical Economics and Finance

Handbook of Empirical Economics and Finance
Author: Aman Ullah,David E. A. Giles
Publsiher: CRC Press
Total Pages: 532
Release: 2016-04-19
ISBN 10: 9781420070361
ISBN 13: 1420070363
Language: EN, FR, DE, ES & NL

Handbook of Empirical Economics and Finance Book Review:

Handbook of Empirical Economics and Finance explores the latest developments in the analysis and modeling of economic and financial data. Well-recognized econometric experts discuss the rapidly growing research in economics and finance and offer insight on the future direction of these fields. Focusing on micro models, the first group of chapters describes the statistical issues involved in the analysis of econometric models with cross-sectional data often arising in microeconomics. The book then illustrates time series models that are extensively used in empirical macroeconomics and finance. The last set of chapters explores the types of panel data and spatial models that are becoming increasingly significant in analyzing complex economic behavior and policy evaluations. This handbook brings together both background material and new methodological and applied results that are extremely important to the current and future frontiers in empirical economics and finance. It emphasizes inferential issues that transpire in the analysis of cross-sectional, time series, and panel data-based empirical models in economics, finance, and related disciplines.

Financial Economics and Econometrics

Financial Economics and Econometrics
Author: Nikiforos T. Laopodis
Publsiher: Routledge
Total Pages: 766
Release: 2021-12-15
ISBN 10: 1000506088
ISBN 13: 9781000506082
Language: EN, FR, DE, ES & NL

Financial Economics and Econometrics Book Review:

Financial Economics and Econometrics provides an overview of the core topics in theoretical and empirical finance, with an emphasis on applications and interpreting results. Structured in five parts, the book covers financial data and univariate models; asset returns; interest rates, yields and spreads; volatility and correlation; and corporate finance and policy. Each chapter begins with a theory in financial economics, followed by econometric methodologies which have been used to explore the theory. Next, the chapter presents empirical evidence and discusses seminal papers on the topic. Boxes offer insights on how an idea can be applied to other disciplines such as management, marketing and medicine, showing the relevance of the material beyond finance. Readers are supported with plenty of worked examples and intuitive explanations throughout the book, while key takeaways, ‘test your knowledge’ and ‘test your intuition’ features at the end of each chapter also aid student learning. Digital supplements including PowerPoint slides, computer codes supplements, an Instructor’s Manual and Solutions Manual are available for instructors. This textbook is suitable for upper-level undergraduate and graduate courses on financial economics, financial econometrics, empirical finance and related quantitative areas.

Handbook of Heavy Tailed Distributions in Finance

Handbook of Heavy Tailed Distributions in Finance
Author: S.T Rachev
Publsiher: Elsevier
Total Pages: 704
Release: 2003-03-05
ISBN 10: 9780080557731
ISBN 13: 0080557732
Language: EN, FR, DE, ES & NL

Handbook of Heavy Tailed Distributions in Finance Book Review:

The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series. This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modelling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management.

Financial Econometrics

Financial Econometrics
Author: Oliver Linton
Publsiher: Cambridge University Press
Total Pages: 622
Release: 2019-01-31
ISBN 10: 1107177154
ISBN 13: 9781107177154
Language: EN, FR, DE, ES & NL

Financial Econometrics Book Review:

Presents an up-to-date treatment of the models and methodologies of financial econometrics by one of the world's leading financial econometricians.

Handbook of Volatility Models and Their Applications

Handbook of Volatility Models and Their Applications
Author: Luc Bauwens,Christian M. Hafner,Sebastien Laurent
Publsiher: John Wiley & Sons
Total Pages: 568
Release: 2012-03-22
ISBN 10: 1118272056
ISBN 13: 9781118272053
Language: EN, FR, DE, ES & NL

Handbook of Volatility Models and Their Applications Book Review:

A complete guide to the theory and practice of volatility modelsin financial engineering Volatility has become a hot topic in this era of instantcommunications, spawning a great deal of research in empiricalfinance and time series econometrics. Providing an overview of themost recent advances, Handbook of Volatility Models and TheirApplications explores key concepts and topics essential formodeling the volatility of financial time series, both univariateand multivariate, parametric and non-parametric, high-frequency andlow-frequency. Featuring contributions from international experts in the field,the book features numerous examples and applications fromreal-world projects and cutting-edge research, showing step by stephow to use various methods accurately and efficiently whenassessing volatility rates. Following a comprehensive introductionto the topic, readers are provided with three distinct sectionsthat unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and StochasticVolatility presents ARCH and stochastic volatility models, with afocus on recent research topics including mean, volatility, andskewness spillovers in equity markets Other Models and Methods presents alternative approaches, suchas multiplicative error models, nonparametric and semi-parametricmodels, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement ofvolatility by realized variances and covariances, guiding readerson how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications isan essential reference for academics and practitioners in finance,business, and econometrics who work with volatility models in theireveryday work. The book also serves as a supplement for courses onrisk management and volatility at the upper-undergraduate andgraduate levels.

The Handbook of Historical Economics

The Handbook of Historical Economics
Author: Alberto Bisin,Giovanni Federico
Publsiher: Academic Press
Total Pages: 1002
Release: 2021-04-21
ISBN 10: 0128162686
ISBN 13: 9780128162682
Language: EN, FR, DE, ES & NL

The Handbook of Historical Economics Book Review:

The Handbook of Historical Economics guides students and researchers through a quantitative economic history that uses fully up-to-date econometric methods. The book's coverage of statistics applied to the social sciences makes it invaluable to a broad readership. As new sources and applications of data in every economic field are enabling economists to ask and answer new fundamental questions, this book presents an up-to-date reference on the topics at hand. Provides an historical outline of the two cliometric revolutions, highlighting the similarities and the differences between the two Surveys the issues and principal results of the "second cliometric revolution" Explores innovations in formulating hypotheses and statistical testing, relating them to wider trends in data-driven, empirical economics

Handbook of Financial Intermediation and Banking

Handbook of Financial Intermediation and Banking
Author: Anjan V. Thakor,Arnoud Boot
Publsiher: Elsevier
Total Pages: 608
Release: 2008-07-07
ISBN 10: 9780080559926
ISBN 13: 0080559921
Language: EN, FR, DE, ES & NL

Handbook of Financial Intermediation and Banking Book Review:

The growth of financial intermediation research has yielded a host of questions that have pushed "design" issues to the fore even as the boundary between financial intermediation and corporate finance has blurred. This volume presents review articles on six major topics that are connected by information-theoretic tools and characterized by valuable perspectives and important questions for future research. Touching upon a wide range of issues pertaining to the designs of securities, institutions, trading mechanisms and markets, industry structure, and regulation, this volume will encourage bold new efforts to shape financial intermediaries in the future. * Original review articles offer valuable perspectives on research issues appearing in top journals * Twenty articles are grouped by six major topics, together defining the leading research edge of financial intermediation * Corporate finance researchers will find affinities in the tools, methods, and conclusions featured in these articles

High Frequency Financial Econometrics

High Frequency Financial Econometrics
Author: Yacine Aït-Sahalia,Jean Jacod
Publsiher: Princeton University Press
Total Pages: 688
Release: 2014-07-21
ISBN 10: 0691161437
ISBN 13: 9780691161433
Language: EN, FR, DE, ES & NL

High Frequency Financial Econometrics Book Review:

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.

Introductory Econometrics for Finance

Introductory Econometrics for Finance
Author: Chris Brooks
Publsiher: Cambridge University Press
Total Pages: 135
Release: 2008-05-22
ISBN 10: 1139472305
ISBN 13: 9781139472302
Language: EN, FR, DE, ES & NL

Introductory Econometrics for Finance Book Review:

This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. Key features: • Thoroughly revised and updated, including two new chapters on panel data and limited dependent variable models • Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models • Detailed examples and case studies from finance show students how techniques are applied in real research • Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results • Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice • Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods • Thoroughly class-tested in leading finance schools. Bundle with EViews student version 6 available. Please contact us for more details.

Extreme Events in Finance

Extreme Events in Finance
Author: Francois Longin
Publsiher: John Wiley & Sons
Total Pages: 640
Release: 2016-10-17
ISBN 10: 1118650190
ISBN 13: 9781118650196
Language: EN, FR, DE, ES & NL

Extreme Events in Finance Book Review:

A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: • Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management • Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets • Extensive references in order to provide readers with resources for further study • Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance. François Longin, PhD, is Professor in the Department of Finance at ESSEC Business School, France. He has been working on the applications of extreme value theory to financial markets for many years, and his research has been applied by financial institutions in the risk management area including market, credit, and operational risks. His research works can be found in scientific journals such as The Journal of Finance. Dr. Longin is currently a financial consultant with expertise covering risk management for financial institutions and portfolio management for asset management firms.

Handbook of Quantitative Finance and Risk Management

Handbook of Quantitative Finance and Risk Management
Author: Cheng-Few Lee,John Lee
Publsiher: Springer Science & Business Media
Total Pages: 1716
Release: 2010-06-14
ISBN 10: 0387771174
ISBN 13: 9780387771175
Language: EN, FR, DE, ES & NL

Handbook of Quantitative Finance and Risk Management Book Review:

Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.