The elements of financial econometrics:
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge
Cambridge University Press
[2017]
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Item Description: | Enthält Literaturnachweise: Seite 366-374 |
| Physical Description: | xii, 381 Seiten Diagramme 25 cm |
| ISBN: | 9781107191174 |
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Record in the Search Index
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| adam_text | THE ELEMENTS OF FINANCIAL ECONOMETRICS
/ FAN, JIANQINGYYEAUTHOR
: 2017
TABLE OF CONTENTS / INHALTSVERZEICHNIS
ASSET RETURNS
LINEAR TIME SERIES MODELS
HETEROSCEDASTIC VOLATILITY MODELS
MULTIVARIATE TIME SERIES ANALYSIS
EFFICIENT PORTFOLIOS AND CAPITAL ASSET PRICING MODEL
FACTOR PRICING MODELS
PORTFOLIO ALLOCATION AND RISK ASSESSMENT
CONSUMPTION BASED CAPM
PRESENT-VALUE MODELS
REFERENCES
AUTHOR INDEX
SUBJECT INDEX
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
Contents
Preface page ix
1 Asset Returns 1
1.1 Returns 1
1.2 Behavior of financial return data 7
1.3 Efficient markets hypothesis and statistical models for
returns 16
1.4 Tests related to efficient markets hypothesis 21
1.5 Appendix: Q-Q plot and Jarque—Bera test 27
1.6 Further reading and software implementation 29
1.7 Exercises 30
2 Linear Time Series Models 33
2.1 Stationarity 33
2.2 Stationary ARM A models 36
2.3 Nonstationary and long memory ARMA processes 53
2.4 Model selection using ACF, PACF and EACF* 58
2.5 Fitting ARMA models: MLE and LSE 62
2.6 Model diagnostics: residual analysis 72
2.7 Model identification based on information criteria 77
2.8 Stochastic and deterministic trends 79
2.9 Forecasting 87
2.10 Appendix: Time series analysis in R 101
2.11 Exercises 105
3 Heteroscedastic Volatility IVIodels 109
3.1 ARCH and GARCH models 110
3.2 Estimation for GARCH models 125
3.3 ARMA-GARCH models 143
3.4 Extended GARCH models 144
Contents
vi
3.5 Stochastic volatility models 155
3.6 Appendix: State space models* 160
3.7 Exercises 168
4 Multivariate Time Series Analysis 171
4.1 Stationarity and autocorrelation matrices 171
4.2 Vector autoregressive models 176
4.3 Cointegration 194
4.4 Exercises 209
5 Efficient Portfolios and Capital Asset Pricing Model 211
5.1 Efficient portfolios 211
5.2 Optimizing expected utility function 219
5.3 Capital asset pricing model 221
5.4 Validating CAPM 226
5.5 Empirical studies 234
5.6 Cross-sectional regression 239
5.7 Portfolio optimization without a risk-free asset 240
5.8 CAPM with unknowing risk-free rate 248
5.9 Complements 252
5.10 Exercises 254
6 Factor Pricing Models 257
6.1 Multifactor pricing models 257
6.2 Applications of multifactor models 262
6.3 Model validation with tradable factors 264
6.4 Macroeconomic variables as factors* 274
6.5 Selection of factors 274
6.6 Exercises 283
7 Portfolio Allocation and Risk Assessment 286
7.1 Risk assessment of large portfolios 286
7.2 Estimation of a large volatility matrix 297
7.3 Portfolio allocation with gross-exposure constraints 317
7.4 Portfolio selection and tracking 322
7.5 Empirical applications 325
7.6 Complements 328
7.7 Exercises 331
8 Consumption based CAPM 333
8.1 Utility optimization 333
8.2 Consumption-based CAPM 336
8.3 Mean-variance frontier* 342
Contents
vii
8.4 Exercises 345
Present-value Models 34G
9.1 Fundamental price 346
9.2 Rational bubbles 348
9.3 Time-varying expected returns 351
9.4 Empirical evidence 354
9.5 Linear regression under dependence 359
9.6 Exercises 365
References 366
Author Index 375
Subject Index 378
|
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| discipline | Wirtschaftswissenschaften |
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| isbn | 9781107191174 |
| language | English |
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| spelling | Fan, Jianqing Verfasser (DE-588)17090492X aut The elements of financial econometrics Jianqing Fan (Princeton University, New Jersey), Qiwei Yao (London School of Economics and Political Science) Cambridge Cambridge University Press [2017] © 2017 xii, 381 Seiten Diagramme 25 cm txt rdacontent n rdamedia nc rdacarrier Enthält Literaturnachweise: Seite 366-374 Ökonometrisches Modell Finance Econometric models Capital assets pricing model Finanzierung (DE-588)4017182-6 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Finanzierung (DE-588)4017182-6 s Ökonometrie (DE-588)4132280-0 s DE-604 Yao, Qiwei 1960- Verfasser (DE-588)171808584 aut LoC Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029753819&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 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=029753819&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Fan, Jianqing Yao, Qiwei 1960- The elements of financial econometrics Ökonometrisches Modell Finance Econometric models Capital assets pricing model Finanzierung (DE-588)4017182-6 gnd Kreditmarkt (DE-588)4073788-3 gnd Ökonometrie (DE-588)4132280-0 gnd |
| subject_GND | (DE-588)4017182-6 (DE-588)4073788-3 (DE-588)4132280-0 |
| title | The elements of financial econometrics |
| title_auth | The elements of financial econometrics |
| title_exact_search | The elements of financial econometrics |
| title_full | The elements of financial econometrics Jianqing Fan (Princeton University, New Jersey), Qiwei Yao (London School of Economics and Political Science) |
| title_fullStr | The elements of financial econometrics Jianqing Fan (Princeton University, New Jersey), Qiwei Yao (London School of Economics and Political Science) |
| title_full_unstemmed | The elements of financial econometrics Jianqing Fan (Princeton University, New Jersey), Qiwei Yao (London School of Economics and Political Science) |
| title_short | The elements of financial econometrics |
| title_sort | the elements of financial econometrics |
| topic | Ökonometrisches Modell Finance Econometric models Capital assets pricing model Finanzierung (DE-588)4017182-6 gnd Kreditmarkt (DE-588)4073788-3 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Ökonometrisches Modell Finance Econometric models Capital assets pricing model Finanzierung Kreditmarkt Ökonometrie |
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