Applied Financial Econometrics
Theory, Method and Applications
(Sprache: Englisch)
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...
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Klappentext zu „Applied Financial Econometrics “
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.
Inhaltsverzeichnis zu „Applied Financial Econometrics “
Chapter 1. Scope and Methodology of Econometrics. - Chapter 2. Random Walk Hypothesis: Random Walk Models. - Chapter 3. Geometric Brownian Motion. - Chapter 4. Efficient Frontier. - Chapter 5. Portfolio Optimisation. - Chapter 6. Introduction to Asset Pricing Factor Models: CAPM Multifactor Asset Pricing Models. - Chapter 7. Risk Analysis: Volatility risk ARCH & GARCH Models Value at Risk Models. - Chapter 8. Introduction to Fat tails: Fat tails in financial data How to handle fat tails It's implication on investment decision. - Chapter 9. Introduction to Nonlinear Models: Threshold Regression TAR (Discrete) & STAR (Smooth). - Chapter 10. Introduction to Wavelets: Multi scale Wavelet decomposition; Wavelet Covariance and Correlation; Wavelet Coherence; and Wavelet Clustering
Autoren-Porträt von Moinak Maiti
Moinak Maiti is Associate Professor in the Department of Finance, National Research University Higher School of Economics, Saint Petersburg, Russia
Bibliographische Angaben
- Autor: Moinak Maiti
- 2021, 1st ed. 2021, XXIX, 287 Seiten, 88 farbige Abbildungen, Masse: 14,8 x 21 cm, Gebunden, Englisch
- Verlag: Springer, Berlin
- ISBN-10: 9811640629
- ISBN-13: 9789811640629
Sprache:
Englisch
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