Introduction to financial forecasting in investment analysis:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York [u.a.]
Springer
2013
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XI, 236 S. graph. Darst. |
| ISBN: | 9781461452386 |
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MARC
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| 245 | 1 | 0 | |a Introduction to financial forecasting in investment analysis |c John B. Guerard, Jr. |
| 264 | 1 | |a New York [u.a.] |b Springer |c 2013 | |
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| adam_text | Contents
1
Forecasting: Its Purpose and Accuracy
....................... 1
Forecast Rationality
...................................... 3
Absolute and Relative Forecast Accuracy
...................... 8
Appendix
.............................................. 14
Exponential Smoothing
.................................. 14
References
............................................. 17
2
Regression Analysis and Forecasting Models
.................. 19
Examples of Financial Economic Data
......................... 25
Autocorrelation
......................................... 28
Multiple Regression
...................................... 32
The Conference Board Composite Index of Leading
Economic Indicators and Real US GDP Growth:
A Regression Example
.................................... 36
Summary
.............................................. 42
Appendix
.............................................. 42
Leading Index Components
............................... 43
References
............................................. 44
3
An Introduction to Time Series Modeling
and Forecasting
........................................ 47
Basic Statistical Properties of Economic Series
.................. 48
The
Autoregressive
and Moving
Average Processes
..................................... 51
ARMA
Model Identification in Practice
........................ 57
Modeling Real GDP: An Example
............................ 61
Leading Economic Indicators and Real GDP Analysis:
The Statistical Evidence,
1970-2002.......................... 63
US and G7 Post-sample Real GDP Forecasting Analysis
........... 69
Summary
.............................................. 71
References
............................................. 71
x
Contents
4 Regression
Analysis and Multicollinearity: Two Case Studies
..... 73
The First Example: Combining GNP Forecasts
................... 78
The Second Example: Modeling the Returns
of the US Equities
....................................... 82
Summary and Conclusions
................................. 91
References
............................................. 92
5
Transfer Function Modeling and Granger
Causality Testing
....................................... 97
Testing for Causality: The Ashley
et al.
(1980)
Test
............... 97
Quarterly Mergers,
1992-2011:
Automatic Time Series
Modeling and an Application of the Ashley
et al.
(1980)
Test
........................................ 102
Causality Testing: An Alternative Approach
by Chen and Lee
........................................
Ill
Causality Analysis of Quarterly Mergers,
1992-2011:
An Application of the Chen and Lee Test
...................... 117
Money Supply and Stock Prices,
1967-2011.................... 139
References
............................................. 142
6
A Case Study of Portfolio Construction Using the USER
Data and the
Barra
Aegis System
........................... 145
The
BARRA
Model: The Primary Institutional
Risk Model
............................................ 148
Stock Selection Modeling
.................................. 162
Efficient Portfolio Construction Using the
Barra
Aegis System
........................................... 163
DMC Model III Calculation
.............................. 170
Conclusions
............................................ 171
References
............................................. 171
7
More
Markowitz
Efficient Portfolios Featuring
the USER Data and an Extension to Global Data
and Investment Universes
................................. 175
Constructing Efficient Portfolios
............................. 177
Extensions to the Traditional Mean-Variance Model
.............. 179
Portfolio Construction, Management, and Analysis:
An Introduction to Tracking Error at Risk
...................... 179
Portfolio Construction, Management, and Analysis:
An Introduction to Systematic Tracking
Error Optimization
....................................... 186
Markowitz
Restored: The Alpha Alignment
Factor Approach
......................................... 191
Contents xi
An Global
Expected Returns
Model:
Why Everyone
Should Diversify Globally,
1998-2009........................ 200
Global Investing in the World of Business,
1999-2011............. 204
Conclusions
............................................ 216
References
............................................. 217
8
Forecasting World Stock Returns and Improved
Asset Allocation
........................................ 221
Summary and Conclusions
................................. 224
References
............................................. 224
9
Summary and Conclusions
................................ 227
References
............................................. 229
Index
................................................... 231
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| institution | BVB |
| isbn | 9781461452386 |
| language | English |
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| physical | XI, 236 S. graph. Darst. |
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| spelling | Guerard, John Baynard Verfasser (DE-588)170085600 aut Introduction to financial forecasting in investment analysis John B. Guerard, Jr. New York [u.a.] Springer 2013 XI, 236 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Finanzanalyse (DE-588)4133000-6 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Prognose (DE-588)4047390-9 gnd rswk-swf Investitionsentscheidung (DE-588)4162244-3 gnd rswk-swf Investitionsentscheidung (DE-588)4162244-3 s Finanzanalyse (DE-588)4133000-6 s Prognose (DE-588)4047390-9 s Portfolio Selection (DE-588)4046834-3 s b DE-604 Erscheint auch als Online-Ausgabe 978-1-4614-5239-3 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025386941&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Guerard, John Baynard Introduction to financial forecasting in investment analysis Finanzanalyse (DE-588)4133000-6 gnd Portfolio Selection (DE-588)4046834-3 gnd Prognose (DE-588)4047390-9 gnd Investitionsentscheidung (DE-588)4162244-3 gnd |
| subject_GND | (DE-588)4133000-6 (DE-588)4046834-3 (DE-588)4047390-9 (DE-588)4162244-3 |
| title | Introduction to financial forecasting in investment analysis |
| title_auth | Introduction to financial forecasting in investment analysis |
| title_exact_search | Introduction to financial forecasting in investment analysis |
| title_full | Introduction to financial forecasting in investment analysis John B. Guerard, Jr. |
| title_fullStr | Introduction to financial forecasting in investment analysis John B. Guerard, Jr. |
| title_full_unstemmed | Introduction to financial forecasting in investment analysis John B. Guerard, Jr. |
| title_short | Introduction to financial forecasting in investment analysis |
| title_sort | introduction to financial forecasting in investment analysis |
| topic | Finanzanalyse (DE-588)4133000-6 gnd Portfolio Selection (DE-588)4046834-3 gnd Prognose (DE-588)4047390-9 gnd Investitionsentscheidung (DE-588)4162244-3 gnd |
| topic_facet | Finanzanalyse Portfolio Selection Prognose Investitionsentscheidung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025386941&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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