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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.

By: Material type: TextTextSeries: Frank J. Fabozzi seriesPublisher: Hoboken, New Jersey : John Wiley & Sons, Inc., [2014]Description: 1 online resource (xxi, 428 pages) : illustrationsContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9781118727430
  • 1118727436
  • 9781118727232
  • 1118727231
  • 9781306638173
  • 1306638178
Subject(s): Genre/Form: Additional physical formats: Print version:: Basics of econometrics.DDC classification:
  • 330.01/5195 23
LOC classification:
  • HG106
Online resources:
Contents:
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.
Summary: "An accessible guide to the growing field of financial econometrics ."--Provided by publisher.
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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