E Book

Empirical Techniques in Finance

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Basic Probability Theory and Markov Chains -- Estimation Techniques -- Non-Parametric Method of Estimation -- Unit Root, Cointegration and Related Issues -- VAR Modeling -- Time Varying Volatility Models -- State-Space Models (I) -- State-Space Models (II) -- Discrete Time Real Asset Valuation Model -- Discrete Time Model of Interest Rate -- Global Bubbles in Stock Markets and Linkages -- Forward FX Market and the Risk Premium -- Equity Risk Premia from Derivative Prices.This book offers the opportunity to study and experience advanced empi- cal techniques in finance and in general financial economics. It is not only suitable for students with an interest in the field, it is also highly rec- mended for academic researchers as well as the researchers in the industry. The book focuses on the contemporary empirical techniques used in the analysis of financial markets and how these are implemented using actual market data. With an emphasis on Implementation, this book helps foc- ing on strategies for rigorously combing finance theory and modeling technology to extend extant considerations in the literature. The main aim of this book is to equip the readers with an array of tools and techniques that will allow them to explore financial market problems with a fresh perspective. In this sense it is not another volume in eco- metrics. Of course, the traditional econometric methods are still valid and important; the contents of this book will bring in other related modeling topics that help more in-depth exploration of finance theory and putting it into practice. As seen in the derivatives analysis, modern finance theory requires a sophisticated understanding of stochastic processes. The actual data analyses also require new Statistical tools that can address the unique aspects of financial data. To meet these new demands, this book explains diverse modeling approaches with an emphasis on the application in the field of finance.

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Ketersediaan

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Informasi Detail

Judul Seri

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No. Panggil

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Penerbit

Berlin, Heidelberg : Springer., 2005

Deskripsi Fisik

XII, 243 p.online resource.

Bahasa

English

ISBN/ISSN

9783540276425

Klasifikasi

332

Tipe Isi

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Tipe Media

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Tipe Pembawa

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Edisi

1st ed.

Subjek

Economic theory.
Economic Theory/Quantitative Economics/Mathematical Methods.
Finance.
Finance, general.
Economics, Mathematical .
Quantitative Finance.

Info Detail Spesifik

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Pernyataan Tanggungjawab

Ramaprasad Bhar, Shigeyuki Hamori.

Versi lain/terkait

Lampiran Berkas

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