The basics of financial econometrics : tools, concepts, and asset management applications /

• Main Author: Fabozzi, Frank J.
• Format: eBook
• Language: English
• Published: Hoboken, New Jersey : John Wiley & Sons, Inc., [2014]
• Series: Frank J. Fabozzi series.
• Subjects: Finance > Econometric models.; Econometrics.; Finance > Mathematical models.; Finance.; Financial risk management.; BUSINESS & ECONOMICS > Economics > General.; BUSINESS & ECONOMICS > Reference.; Electronic books.
• Online Access: View fulltext via EzAccess

"An accessible guide to the growing field of financial econometrics ."--Provided by publisher.

Table of 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.