Financial econometrics: from basics to advanced modeling techniques
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ
Wiley
2007
|
| Schriftenreihe: | The Frank J. Fabozzi series
Wiley Finance |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
| Beschreibung: | XX, 553 S. graph. Darst. |
| ISBN: | 0471784508 9780471784500 |
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| 264 | 1 | |a Hoboken, NJ |b Wiley |c 2007 | |
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| 650 | 4 | |a Ökonometrie / Finanzsektor / Finanzmarkt / Finanzinnovation / Unternehmensfinanzierung / Betriebliche Finanzwirtschaft | |
| 650 | 4 | |a Ökonometrisches Modell - Finanzinstrument | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Econometrics | |
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Datensatz im Suchindex
| _version_ | 1804135773465739264 |
|---|---|
| adam_text | Contents
Preface
Abbreviations and Acronyms
About the Authors
CHAPTER
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
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)
CHAPTERS
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)
VÜ
Viii
CHAPTER
Selected Topics in Regression Analysis
127
Categorical and Dummy Variables in Regression Models
127
Constrained Least Squares
151
The Method of Moments and its Generalizations
163
Concepts Explained in this Chapter (in order of presentation)
167
CHAPTER
Regression Applications in Finance
169
Applications to the Investment Management Process
169
A Test of Strong-Form Pricing Efficiency
174
Tests of the CAPM
175
Using the CAPM to Evaluate Manager Performance: The Jensen Measure
179
Evidence for Multifactor Models
180
Benchmark Selection:
184
Return-Based Style Analysis for Hedge Funds
186
Hedge Fund Survival
191
Bond Portfolio Applications
192
Concepts Explained in this Chapter (in order of presentation)
199
CHAPTER
Modeling Univariate Time Series
201
Difference Equations
201
Terminology and Definitions
207
Stationarity and Invertibility of
214
Linear Processes
219
Identification Tools
223
Concepts Explained in this Chapter (in order of presentation)
239
CHAPTER
Approaches to ARIMA Modeling and Forecasting
241
Overview of Box-Jenkins Procedure
242
Identification of Degree of Differencing
244
Identification of Lag Orders
250
Model Estimation
253
Diagnostic Checking
262
Forecasting
271
Concepts Explained in this Chapter (in order of presentation)
277
CHAPTER
Autoregressive
279
ARCH Process
280
GARCH Process
284
Estimation of the GARCH Models
289
Stationary ARMA-GARCH Models
293
Contents
Lagrange
Variants
GARCH Model with Student s ¿-Distributed Innovations
Multivariate GARCH Formulations
Appendix: Analysis of the Properties of the
Concepts Explained in this Chapter (in order of presentation)
CHAPTERS
Vector
VAR
Stationary
Vector
Forecasting with
Appendix: Eigenvectors and Eigenvalues
Concepts Explained in this Chapter (in order of presentation)
CHAPTER
Vector
Estimation of Stable
Estimating the Number of Lags
Autocorrelation and Distributional Properties of Residuals
VAR
Concepts Explained in this Chapter (in order of presentation)
CHAPTER
Cointegration
Cointegration
Error Correction Models
Theory and Methods of Estimation of Nonstationary
State-Space Models
Concepts Explained in this Chapter (in order of presentation)
CHAPTER
Robust Estimation
Robust Statistics
Robust Estimators of Regressions
Illustration: Robustness of the Corporate Bond Yield Spread Model
Concepts Explained in this Chapter (in order of presentation)
CHAPTER
Principal Components Analysis and Factor Analysis
Factor Models
Principal Components Analysis
Factor Analysis
Contents
PCA and
Concepts
CHAPTERS
Heavy-Tailed and Stable Distributions in
Basic Facts and Definitions of Stable Distributions
Properties of Stable Distributions
Estimation of the Parameters of the Stable Distribution
Applications to German Stock Data
Appendix: Comparing Probability Distributions
Concepts Explained in this Chapter (in order of presentation)
CHAPTER
ARMA
Infinite Variance
Stable GARCH Models
Estimation for the Stable GARCH Model
Prediction of Conditional Densities
Concepts Explained in this Chapter (in order of presentation)
APPENDIX
Monthly Returns for
INDEX
Finance
Financial Econometrics
Financial econometrics combines mathematical and statistical theory and techniques to understand and solve
problems ¡n 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
if—from background material on probability theory and statistics to information regarding the properties of
specific models and their estimation procedures.
Wilt» this book as your guide, you ll become familiar with:
•
•
•
•
•
cointegrated systems
•
The experienced author team of Svetlozar Rachev, Stefan Mittnik, Frank Fabozzi, Sergio Focardi, and Teo
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 disci¬
pline and clear explanations of how the models associated with it fit into today s investment management process.
SVETLOZAR T. RACHEV, PhD, is Chair-Professor at the University of Karlsruhe in the School of Economics
and Business Engineering, Professor Emeritus at the University of California, Santa Barbara, and Chief Scientist
of FinAnalytica,
STEFAN MITTNIK is Professor of Financial Econometrics at the University of Munich, Research Director af the
lío
Financial Studies in Frankfurt, Germany.
FRANK J. FABOZZI, PhD,
Management and the Editor of the Journal of Portblia Management.
SERGIO M. FOCARDI is a founding partner of the Paris-based consulting firm, The Intertek Group.
TEO JASIC, Ph D, is a senior manager with a leading international management consultancy firm in Frankfurt,
Germany, and a Post-Doctoral Research Fellow at the Chair of Statistics, Econometrics, and Mathematical
Finance af the University of Karlsruhe, Germany.
Cover Design and Illustration: Michael Delhio
|
| adam_txt |
Contents
Preface
Abbreviations and Acronyms
About the Authors
CHAPTER
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
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)
CHAPTERS
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)
VÜ
Viii
CHAPTER
Selected Topics in Regression Analysis
127
Categorical and Dummy Variables in Regression Models
127
Constrained Least Squares
151
The Method of Moments and its Generalizations
163
Concepts Explained in this Chapter (in order of presentation)
167
CHAPTER
Regression Applications in Finance
169
Applications to the Investment Management Process
169
A Test of Strong-Form Pricing Efficiency
174
Tests of the CAPM
175
Using the CAPM to Evaluate Manager Performance: The Jensen Measure
179
Evidence for Multifactor Models
180
Benchmark Selection:
184
Return-Based Style Analysis for Hedge Funds
186
Hedge Fund Survival
191
Bond Portfolio Applications
192
Concepts Explained in this Chapter (in order of presentation)
199
CHAPTER
Modeling Univariate Time Series
201
Difference Equations
201
Terminology and Definitions
207
Stationarity and Invertibility of
214
Linear Processes
219
Identification Tools
223
Concepts Explained in this Chapter (in order of presentation)
239
CHAPTER
Approaches to ARIMA Modeling and Forecasting
241
Overview of Box-Jenkins Procedure
242
Identification of Degree of Differencing
244
Identification of Lag Orders
250
Model Estimation
253
Diagnostic Checking
262
Forecasting
271
Concepts Explained in this Chapter (in order of presentation)
277
CHAPTER
Autoregressive
279
ARCH Process
280
GARCH Process
284
Estimation of the GARCH Models
289
Stationary ARMA-GARCH Models
293
Contents
Lagrange
Variants
GARCH Model with Student's ¿-Distributed Innovations
Multivariate GARCH Formulations
Appendix: Analysis of the Properties of the
Concepts Explained in this Chapter (in order of presentation)
CHAPTERS
Vector
VAR
Stationary
Vector
Forecasting with
Appendix: Eigenvectors and Eigenvalues
Concepts Explained in this Chapter (in order of presentation)
CHAPTER
Vector
Estimation of Stable
Estimating the Number of Lags
Autocorrelation and Distributional Properties of Residuals
VAR
Concepts Explained in this Chapter (in order of presentation)
CHAPTER
Cointegration
Cointegration
Error Correction Models
Theory and Methods of Estimation of Nonstationary
State-Space Models
Concepts Explained in this Chapter (in order of presentation)
CHAPTER
Robust Estimation
Robust Statistics
Robust Estimators of Regressions
Illustration: Robustness of the Corporate Bond Yield Spread Model
Concepts Explained in this Chapter (in order of presentation)
CHAPTER
Principal Components Analysis and Factor Analysis
Factor Models
Principal Components Analysis
Factor Analysis
Contents
PCA and
Concepts
CHAPTERS
Heavy-Tailed and Stable Distributions in
Basic Facts and Definitions of Stable Distributions
Properties of Stable Distributions
Estimation of the Parameters of the Stable Distribution
Applications to German Stock Data
Appendix: Comparing Probability Distributions
Concepts Explained in this Chapter (in order of presentation)
CHAPTER
ARMA
Infinite Variance
Stable GARCH Models
Estimation for the Stable GARCH Model
Prediction of Conditional Densities
Concepts Explained in this Chapter (in order of presentation)
APPENDIX
Monthly Returns for
INDEX
Finance
Financial Econometrics
Financial econometrics combines mathematical and statistical theory and techniques to understand and solve
problems ¡n 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
if—from background material on probability theory and statistics to information regarding the properties of
specific models and their estimation procedures.
Wilt» this book as your guide, you'll become familiar with:
•
•
•
•
•
cointegrated systems
•
The experienced author team of Svetlozar Rachev, Stefan Mittnik, Frank Fabozzi, Sergio Focardi, and Teo
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 disci¬
pline and clear explanations of how the models associated with it fit into today's investment management process.
SVETLOZAR T. RACHEV, PhD, is Chair-Professor at the University of Karlsruhe in the School of Economics
and Business Engineering, Professor Emeritus at the University of California, Santa Barbara, and Chief Scientist
of FinAnalytica,
STEFAN MITTNIK is Professor of Financial Econometrics at the University of Munich, Research Director af the
lío
Financial Studies in Frankfurt, Germany.
FRANK J. FABOZZI, PhD,
Management and the Editor of the Journal of Portblia Management.
SERGIO M. FOCARDI is a founding partner of the Paris-based consulting firm, The Intertek Group.
TEO JASIC, Ph D, is a senior manager with a leading international management consultancy firm in Frankfurt,
Germany, and a Post-Doctoral Research Fellow at the Chair of Statistics, Econometrics, and Mathematical
Finance af the University of Karlsruhe, Germany.
Cover Design and Illustration: Michael Delhio |
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| id | DE-604.BV021839605 |
| illustrated | Illustrated |
| index_date | 2024-07-02T16:00:00Z |
| indexdate | 2024-07-09T20:45:50Z |
| institution | BVB |
| isbn | 0471784508 9780471784500 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015051477 |
| oclc_num | 255835574 |
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| physical | XX, 553 S. graph. Darst. |
| publishDate | 2007 |
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| series2 | The Frank J. Fabozzi series Wiley Finance |
| spelling | Financial econometrics from basics to advanced modeling techniques Svetlozar T. Rachev ... Hoboken, NJ Wiley 2007 XX, 553 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier The Frank J. Fabozzi series Wiley Finance Lehrbuch / Textbook - 28 Ökonometrie / Finanzsektor / Finanzmarkt / Finanzinnovation / Unternehmensfinanzierung / Betriebliche Finanzwirtschaft Ökonometrisches Modell - Finanzinstrument Mathematisches Modell Econometrics Finance Mathematical models Finanzierung (DE-588)4017182-6 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Ökonometrie (DE-588)4132280-0 s Finanzierung (DE-588)4017182-6 s b DE-604 Račev, Svetlozar T. 1951- Sonstige (DE-588)12022979X oth Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015051477&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015051477&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Financial econometrics from basics to advanced modeling techniques Lehrbuch / Textbook - 28 Ökonometrie / Finanzsektor / Finanzmarkt / Finanzinnovation / Unternehmensfinanzierung / Betriebliche Finanzwirtschaft Ökonometrisches Modell - Finanzinstrument Mathematisches Modell Econometrics Finance Mathematical models Finanzierung (DE-588)4017182-6 gnd Ökonometrie (DE-588)4132280-0 gnd |
| subject_GND | (DE-588)4017182-6 (DE-588)4132280-0 |
| title | Financial econometrics from basics to advanced modeling techniques |
| title_auth | Financial econometrics from basics to advanced modeling techniques |
| title_exact_search | Financial econometrics from basics to advanced modeling techniques |
| title_exact_search_txtP | Financial econometrics from basics to advanced modeling techniques |
| title_full | Financial econometrics from basics to advanced modeling techniques Svetlozar T. Rachev ... |
| title_fullStr | Financial econometrics from basics to advanced modeling techniques Svetlozar T. Rachev ... |
| title_full_unstemmed | Financial econometrics from basics to advanced modeling techniques Svetlozar T. Rachev ... |
| title_short | Financial econometrics |
| title_sort | financial econometrics from basics to advanced modeling techniques |
| title_sub | from basics to advanced modeling techniques |
| topic | Lehrbuch / Textbook - 28 Ökonometrie / Finanzsektor / Finanzmarkt / Finanzinnovation / Unternehmensfinanzierung / Betriebliche Finanzwirtschaft Ökonometrisches Modell - Finanzinstrument Mathematisches Modell Econometrics Finance Mathematical models Finanzierung (DE-588)4017182-6 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Lehrbuch / Textbook - 28 Ökonometrie / Finanzsektor / Finanzmarkt / Finanzinnovation / Unternehmensfinanzierung / Betriebliche Finanzwirtschaft Ökonometrisches Modell - Finanzinstrument Mathematisches Modell Econometrics Finance Mathematical models Finanzierung Ökonometrie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015051477&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015051477&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT racevsvetlozart financialeconometricsfrombasicstoadvancedmodelingtechniques |