The basics of financial econometrics: tools, concepts, and asset management applications
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Hoboken, NJ
Wiley
2014
|
| Series: | The Frank J. Fabozzi series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes index |
| Physical Description: | XXI, 426 S. graph. Darst. |
| ISBN: | 9781118573204 |
Staff View
MARC
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| 245 | 1 | 0 | |a The basics of financial econometrics |b tools, concepts, and asset management applications |c Frank J. Fabozzi ... |
| 264 | 1 | |a Hoboken, NJ |b Wiley |c 2014 | |
| 300 | |a XXI, 426 S. |b graph. Darst. | ||
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| 337 | |b n |2 rdamedia | ||
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Record in the Search Index
| _version_ | 1804152212389101568 |
|---|---|
| adam_text | Prefacă
хЯ
Acknowledgments xvfl
About me Autiiope
xix
СНАРТБМ
Introduction
1
Financial Econometrics at Work
2
The Data Generating Process
5
Applications of Financial Econometrics to Investment Management
6
Key Points
10
CłttPTBłZ
Slmpte Linear
НвдоѕзЈоп
18
The Role of Correlation
13
Regression Model: Linear Functional Relationship
between Two Variables
14
Distributional Assumptions of the Regression Model
16
Estimating the Regression Model
18
Goodness-of-Fit of the Model
22
Two Applications in Finance
25
Linear Regression
oí
a Nonlinear Relationship
36
Key Points
3 8
CHAPTfflS
Muntte
linear Rearmtan
41
The Multiple Linear Regression Model
42
Assumptions of the Multiple Linear Regression Model
43
Estimation of the Model Parameters
43
Designing the Model
45
Diagnostic Check and Model
SigniÖcance
46
Applications to Finance
51
Key Points
79
CONTENTS
Bufldbig and
testing
a Munito
Linear Regression
Моем
81
The Problem of MulticoUinearity
81
Model Building Techniques
84
Testing the Assumptions of the Multiple Linear Regression Model
8 8
Key Points
100
СНЛРТН6
Introduction to
Ime Sarte«
Analysis
108
What Is a Time Series
? 103
Decomposition of Time Series
104
Representation of Time Series with Difference Equations
108
Application: The Price Process
109
Key Points
113
СТАРШІ
8
Regression
Modete
wttt Categorical Variables IIS
Independent Categorical Variables
116
Dependent Categorical Variables
137
Key Points
140
снута_7
Quantle Regressions
143
Limitations of Classical Regression Analysis
144
Parameter Estimation
144
Quantile Regression Process
146
Applications of Quantile Regressions in Finance
148
Key Points
155
1
67
Robust Estimators of Regressions
158
Illustration: Robustness of the
Corporate Bond Yield Spread Model
161
Robust Estimation of Covariance and Correlation Matrices
166
Applications
168
Key Points
170
оютша
kbgŁ^^^^^^^^^^^^J^^^
S^^^^^^B^^^^^^^w j^^k^^^^^^^^^^^^^^ ■ijfc^^^^^^^^j^^^
яЛ
^^P^l
Autoregressive
Models
172
Moving Average Models
176
Autoregressive
Moving Average Models
178
Contents
ЇХ
ARMA
Modeling to Forecast S&cP
500
Weekly Index Returns
181
Vector
Autoregressive
Models
188
Key Points
189
CHAPTHMO
Cofcrtegratton
181
Stationary and Nonstationary Variables and Cointegration
192
Testing for Cointegration
196
Key Points
211
СНАРТВИІ
Airtoregressíve
Heteroscedastlctty Mode* and its
Variante
213
Estimating and Forecasting Volatility
214
ARCH Behavior
215
GARCH Model
223
What Do ARCH/GARCH Models Represent?
226
Uni variate
Extensions of GARCH Modeling
226
Estimates of ARCH/GARCH Models
229
Application of GARCH Models to Option Pricing
230
Multivariate Extensions of ARCH/GARCH Modeling
231
Key Points
233
CHAPTER
12
Factor Analysts and Principal Components Analysis
236
Assumptions of Linear Regression
236
Basic Concepts of Factor Models
237
Assumptions and Categorization of Factor Models
240
Similarities and Differences between
Factor Models and Linear Regression
241
Properties of Factor Models
242
Estimation of Factor Models
244
Principal Components Analysis
251
Differences between Factor Analysis and PGA
259
Approximate (Large) Factor Models
261
Approximate Factor Models and PCA
263
Key Points
264
COTTBUS
Modal
ЕжШвгПея
286
Statistical Estimation, and Testing
265
Estimation Methods
267
Least-Squares Estimation Method
268
The Maximum likelihood Estimation Method
278
CONTENTS
Instrumental Variables 283
Method of
Moments 284
The M-Estimation
Method and
M-Estimators 289
Key Points 289
Model Selection
281
Physics and Economics: Two Ways of Making Science
291
Model Complexity and Sample Size
293
Data Snooping
296
Survivorship Biases and Other Sample Defects
297
Model Risk
300
Model Selection in a Nutshell
301
Key Points
303
CHAPTBMB
Formulating and Implementing iwestment Strategies Using
FHancial Econometrics
805
The Quantitative Research Process
307
Investment Strategy Process
314
Key Points
318
лргооал
Descriptive Statistics
821
Basic Data Analysis
321
Measures of Location and Spread
328
Multivariate Variables and Distributions
332
ProfcaMty
ШПИнШим
СдндопГу
mm to
flMMMtPlcs
948
Normal Distribution
344
Chi-Square Distribution
347
Student s ¿-Distribution
349
Ρ
-Distribution
352
а
-Stable Distribution
353
«rarae
Werenttai
Stattete 369
Point Estimators
359
Confidence Intervals
369
Hypothesis Testing
372
Contents Xl
APPMHXD
Fundamentals of
Matrix Algebra 38S
Vectors and Matrices Defined
385
Square
Matrices
387
D
eterminants 388
Systems
of
Linear
Equations
389
Linear
Independence and Rank
391
Vector and Matrix Operations
391
Eigenvalues and Eigenvectors
396
Model Selection Criterion: AJC and
ВС
888
Akaiké
Information Criterion
400
Bayesian Information Criterion
402
APPBWUXF
Robust Statistics
405
Robust Statistics Defined
405
Qualitative and Quantitative Robustness
406
Resistant Estimators
406
M.-
Estimators
408
The Least Median of Squares Estimator
408
The Least Trimmed or Squares Estimator
409
Robust Estimators of the Center
409
Robust Estimators of the Spread
410
Illustration of Robust Statistics
410
Max
413
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| id | DE-604.BV041860492 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T01:07:07Z |
| institution | BVB |
| isbn | 9781118573204 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027304744 |
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| physical | XXI, 426 S. graph. Darst. |
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| publisher | Wiley |
| record_format | marc |
| series2 | The Frank J. Fabozzi series |
| spelling | The basics of financial econometrics tools, concepts, and asset management applications Frank J. Fabozzi ... Hoboken, NJ Wiley 2014 XXI, 426 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier The Frank J. Fabozzi series Includes index Ökonometrie (DE-588)4132280-0 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Finanzierung (DE-588)4017182-6 s Kreditmarkt (DE-588)4073788-3 s Ökonometrie (DE-588)4132280-0 s b DE-604 Fabozzi, Frank J. 1948- Sonstige (DE-588)129772054 oth Erscheint auch als Online-Ausgabe, EPUB 978-1-118-72723-2 Erscheint auch als Online-Ausgabe, PDF 978-1-118-72743-0 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027304744&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | The basics of financial econometrics tools, concepts, and asset management applications Ökonometrie (DE-588)4132280-0 gnd Finanzierung (DE-588)4017182-6 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| subject_GND | (DE-588)4132280-0 (DE-588)4017182-6 (DE-588)4073788-3 |
| title | The basics of financial econometrics tools, concepts, and asset management applications |
| title_auth | The basics of financial econometrics tools, concepts, and asset management applications |
| title_exact_search | The basics of financial econometrics tools, concepts, and asset management applications |
| title_full | The basics of financial econometrics tools, concepts, and asset management applications Frank J. Fabozzi ... |
| title_fullStr | The basics of financial econometrics tools, concepts, and asset management applications Frank J. Fabozzi ... |
| title_full_unstemmed | The basics of financial econometrics tools, concepts, and asset management applications Frank J. Fabozzi ... |
| title_short | The basics of financial econometrics |
| title_sort | the basics of financial econometrics tools concepts and asset management applications |
| title_sub | tools, concepts, and asset management applications |
| topic | Ökonometrie (DE-588)4132280-0 gnd Finanzierung (DE-588)4017182-6 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| topic_facet | Ökonometrie Finanzierung Kreditmarkt |
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