The basics of financial econometrics : [electronic resource] tools, concepts, and asset management applications /
by Fabozzi, Frank J.
Material type:
BookSeries: Frank J. Fabozzi series: Publisher: Hoboken, New Jersey : John Wiley & Sons, Inc., [2014]Description: 1 online resource (xxi, 428 pages) : illustrations.ISBN: 9781118727430; 1118727436; 9781118727232; 1118727231; 9781306638173; 1306638178.Subject(s): Finance -- Econometric models | Econometrics | Finance -- Mathematical models | Finance | Financial risk management | BUSINESS & ECONOMICS -- Economics -- General | BUSINESS & ECONOMICS -- Reference | Econometrics | Finance -- Econometric models | Electronic booksOnline resources: Wiley Online Library Includes bibliographical references and index.
Simple Linear Regression -- Multiple Linear Regression -- Building and Testing a Multiple Linear Regression Model -- Introduction to Time Series Analysis -- Regression Models with Categorical Variables -- Quantile Regressions -- Robust Regressions -- Autoregressive Moving Average Models -- Cointegration -- Autoregressive Heteroscedasticity Model and Its Variants -- Factor Analysis and Principal Components Analysis -- Model Estimation -- Model Selection -- Formulating and Implementing Investment Strategies Using Financial Econometrics -- Appendix A: Descriptive Statistics -- Appendix B: Continuous Probability Distributions Commonly Used in Financial Econometrics -- Appendix C: Inferential Statistics -- Appendix D: Fundamentals of Matrix Algebra -- Appendix E: Model Selection Criterion: AIC and BIC -- Appendix F: Robust Statistics.
"An accessible guide to the growing field of financial econometrics ."--Provided by publisher.
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