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Inhaltsangabe: A comprehensive guide to financial econometrics
Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed.
Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University?s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.
Klappentext: Financial econometrics combines mathematical and statistical theory and techniques to understand and solve problems in financial economics. Modeling and forecasting financial time series, such as prices, returns, interest rates, financial ratios, and defaults, are important parts of this field.
In Financial Econometrics, you'll be introduced to this growing discipline and the concepts associated with it?from background material on probability theory and statistics to information regarding the properties of specific models and their estimation procedures.
With this book as your guide, you'll become familiar with:
The experienced author team of Svetlozar Rachev, Stefan Mittnik, Frank Fabozzi, Sergio Focardi, and Teo Jasic not only presents you with an abundant amount of information on financial econometrics, but they also walk you through a wide array of examples to solidify your understanding of the issues discussed.
Filled with in-depth insights and expert advice, Financial Econometrics provides comprehensive coverage of this discipline and clear explanations of how the models associated with it fit into today's investment management process.
Titel: Financial Econometrics: From Basics to ...
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Buchbeschreibung Wiley. Hardcover. Buchzustand: Very Good. 0471784508 Great condition with light wear! Supplemental materials such as CDs or access codes may NOT be included regardless of title. Expedited shipping available (2-4 day delivery)! Contact us with any questions!. Buchnummer des Verkäufers Z0471784508Z2
Buchbeschreibung Wiley, 2013. Buchzustand: Used. This Book is in Good Condition. Clean Copy With Light Amount of Wear. 100% Guaranteed. Summary: Preface. Abbreviations and Acronyms. About the Authors. CHAPTER 1: Financial Econometrics: Scope and Methods. The Data Generating Process. Financial Econometrics at Work. Time Horizon of Models. Applications. Appendix: Investment Management Process. Concepts Explained in this Chapter (in order of presentation). CHAPTER 2: Review of Probability and Statistics. Concepts of Probability. Principles of Estimation. Bayesian Modeling. Appendix A: Information Structures. Appendix B: Filtration. Concepts Explained in this Chapter (in order of presentation). CHAPTER 3: Regression Analysis: Theory and Estimation. The Concept of Dependence. Regressions and Linear Models. Estimation of Linear Regressions. Sampling Distributions of Regressions. Determining the Explanatory Power of a Regression. Using Regression Analysis in Finance. Stepwise Regression. Nonnormality and Autocorrelation of the Residuals. Pitfalls of Regressions. Concepts Explained in this Chapter (in order of presentation) . CHAPTER 4: Selected Topics in Regression Analysis. Categorical and Dummy Variables in Regression Models. Constrained Least Squares. The Method of Moments and its Generalizations. Concepts Explained in this Chapter (in order of presentation). CHAPTER 5: Regression Applications in Finance. Applications to the Investment Management Process. A Test of Strong-Form Pricing Efficiency. Tests of the CAPM. Using the CAPM to Evaluate Manager Performance: The Jensen Measure. Evidence for Multifactor Models. Benchmark Selection: Sharpe Benchmarks. Return-Based Style Analysis for Hedge Funds. Hedge Fund Survival. Bond Portfolio Applications. Concepts Explained in this Chapter (in order of presentation). CHAPTER 6: Modeling Univariate Time Series. Difference Equations. Terminology and Definitions. Stationarity and Invertibility of ARMA Processes. Linear Processes. Identification Tools. Concepts Explained in this Chapter (in order of presentation). CHAPTER 7: Approaches to ARIMA Modeling and Forecasting. Overview of Box-Jenkins Procedure. Identification of Degree of Differencing. Identification of Lag Orders. Model Estimation. Diagnostic Checking. Forecasting. Concepts Explained in this Chapter (in order of presentation). CHAPTER 8: Autoregressive Conditional Heteroskedastic Models. ARCH Process. GARCH Process. Estimation of the GARCH Models. Stationary ARMA-GARCH Models. Lagrange Multiplier Test. Variants of the GARCH Model. GARCH Model with Student's t-Distributed Innovations. Multivariate GARCH Formulations. Appendix: Analysis of the Properties of the GARCH(1,1) Model. Concepts Explained in this Chapter (in order of presentation). CHAPTER 9: Vector Autoregressive Models I. VAR Models Defined. Stationary Autoregressive Distributed Lag Models. Vector Autoregressive Moving Average Models. Forecasting with VAR Models. Appendix: Eigenvectors and Eigenvalues. Concepts Explained in this Chapter (in order of presentation). CHAPTER 10: Vector Autoregressive Models II. Estimation of Stable VAR Models. Estimating the Number of Lags. Autocorrelation and Distributional Properties of Residuals. VAR Illustration. Concepts Explained in this Chapter (in order of presentation). CHAPTER 11: Cointegration and State Space Models.</. Buchnummer des Verkäufers ABE_book_usedgood_0471784508
Buchbeschreibung Wiley. Hardcover. Buchzustand: Good. Light shelving wear with minimal damage to cover and bindings. Pages show minor use. Buchnummer des Verkäufers G0471784508I3N00
Buchbeschreibung Wiley, 2006. Hardcover. Buchzustand: Used: Good. Buchnummer des Verkäufers SONG0471784508
Buchbeschreibung Wiley, 2006. Buchzustand: very good. Gently used. Expect delivery in 20 days. Buchnummer des Verkäufers 9780471784500-3
Buchbeschreibung Buchzustand: Very Good. Book Condition: Very Good. Buchnummer des Verkäufers 97804717845003.0
Buchbeschreibung Buchzustand: Good. Financial Econometrics: From Basics to Advanced Modeling Techniques (Frank J. Fabozzi Series). Buchnummer des Verkäufers Grb1033616
Buchbeschreibung Wiley. Hardcover. Buchzustand: New. 0471784508 New Condition. Buchnummer des Verkäufers NEW4.0251357
Buchbeschreibung Wiley, 2006. Hardcover. Buchzustand: New. 1. Buchnummer des Verkäufers DADAX0471784508
Buchbeschreibung John Wiley and#38; Sons, 2007. HRD. Buchzustand: New. New Book. Delivered from our US warehouse in 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND.Established seller since 2000. Buchnummer des Verkäufers IP-9780471784500