Applied Financial Econometrics - Moinak Maiti

Applied Financial Econometrics

Theory, Method and Applications

(Autor)

Buch | Softcover
287 Seiten
2022 | 1st ed. 2021
Palgrave Macmillan (Verlag)
978-981-16-4065-0 (ISBN)
53,49 inkl. MwSt
This textbook gives students an approachable, down to earth resource for the study of financial econometrics. This book will be beneficial for both students and tutors who are associated with econometrics subjects at any level.
This textbook gives students an approachable, down to earth resource for the study of financial econometrics. While the subject can be intimidating, primarily due to the mathematics and modelling involved, it is rewarding for students of finance and can be taught and learned in a straightforward way. This book, going from basics to high level concepts, offers knowledge of econometrics that is intended to be used with confidence in the real world. This book will be beneficial for both students and tutors who are associated with econometrics subjects at any level.

Moinak Maiti is Associate Professor in the Department of Finance, National Research University Higher School of Economics, Saint Petersburg, Russia

Chapter 1. Scope and Methodology of Econometrics.- Chapter 2. Random Walk Hypothesis: Random Walk Models.- Chapter 3. Geometric Brownian Motion.- Chapter 4. Efficient Frontier.- Chapter 5. Portfolio Optimisation.- Chapter 6. Introduction to Asset Pricing Factor Models: CAPM Multifactor Asset Pricing Models.- Chapter 7. Risk Analysis: Volatility risk ARCH & GARCH Models Value at Risk Models, etc.

Erscheinungsdatum
Zusatzinfo 88 Illustrations, color; 98 Illustrations, black and white; XXIX, 287 p. 186 illus., 88 illus. in color.
Sprache englisch
Maße 148 x 210 mm
Themenwelt Wirtschaft Allgemeines / Lexika
Wirtschaft Betriebswirtschaft / Management Finanzierung
Wirtschaft Volkswirtschaftslehre Makroökonomie
Schlagworte Econometrics • Financial • Method • Models • Wavelet
ISBN-10 981-16-4065-3 / 9811640653
ISBN-13 978-981-16-4065-0 / 9789811640650
Zustand Neuware
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