The basics of financial econometrics : tools, concepts, and asset management applications / Frank J. Fabozzi, Sergio M. Focardi, Svetlozar T. Rachev, Bala G. Arshanapalli, with the assistance of Markus Hochstotter.
Material type: TextSeries: Frank J. Fabozzi seriesPublisher: Hoboken, New Jersey : John Wiley & Sons, Inc., [2014]Description: 1 online resource (xxi, 428 pages) : illustrationsContent type:- text
- computer
- online resource
- 9781118727430
- 1118727436
- 9781118727232
- 1118727231
- 9781306638173
- 1306638178
- 330.01/5195 23
- HG106
Includes bibliographical references and index.
Print version record and CIP data provided by publisher.
Simple Linear Regression -- Multiple Linear Regression -- Building and Testing a Multiple Linear Regression Model -- Introduction to Time Series Analysis -- Regression Models with Categorical Variables -- Quantile Regressions -- Robust Regressions -- Autoregressive Moving Average Models -- Cointegration -- Autoregressive Heteroscedasticity Model and Its Variants -- Factor Analysis and Principal Components Analysis -- Model Estimation -- Model Selection -- Formulating and Implementing Investment Strategies Using Financial Econometrics -- Appendix A: Descriptive Statistics -- Appendix B: Continuous Probability Distributions Commonly Used in Financial Econometrics -- Appendix C: Inferential Statistics -- Appendix D: Fundamentals of Matrix Algebra -- Appendix E: Model Selection Criterion: AIC and BIC -- Appendix F: Robust Statistics.
"An accessible guide to the growing field of financial econometrics ."--Provided by publisher.
General Management