LEADER 05698nam 2200769 450 001 9910140283203321 005 20231117035011.0 010 $a1-118-72723-1 010 $a1-118-85640-6 010 $a1-118-72743-6 035 $a(CKB)2670000000531031 035 $a(EBL)1645271 035 $a(SSID)ssj0001131743 035 $a(PQKBManifestationID)11733843 035 $a(PQKBTitleCode)TC0001131743 035 $a(PQKBWorkID)11145106 035 $a(PQKB)10931625 035 $a(OCoLC)878139550 035 $a(DLC) 2013046014 035 $a(Au-PeEL)EBL1645271 035 $a(CaPaEBR)ebr10845560 035 $a(CaONFJC)MIL595068 035 $a(OCoLC)871860571 035 $a(CaSebORM)9781118573204 035 $a(MiAaPQ)EBC1645271 035 $a(PPN)183695038 035 $a(EXLCZ)992670000000531031 100 $a20140710h20142014 uy 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt 182 $cc 183 $acr 200 04$aThe basics of financial econometrics $etools, concepts, and asset management applications /$fFrank J. Fabozzi [and three others] ; with the assistance of Markus Ho?chsto?tter 205 $a1st edition 210 1$aHoboken, New Jersey :$cJohn Wiley & Sons,$d2014. 210 4$dİ2014 215 $a1 online resource (450 p.) 225 1 $aFrank J. Fabozzi Series 225 1 $aTHEi Wiley ebooks 300 $aIncludes index. 311 $a1-118-57320-X 320 $aIncludes bibliographical references and index. 327 $aThe Basics of Financial Econometrics; Contents; Preface; Acknowledgments; About the Authors; CHAPTER 1 Introduction; FINANCIAL ECONOMETRICS AT WORK; Step 1: Model Selection; Step 2: Model Estimation; Step 3: Model Testing; THE DATA GENERATING PROCESS; APPLICATIONS OF FINANCIAL ECONOMETRICS TO INVESTMENT MANAGEMENT; Asset Allocation; Portfolio Construction; Portfolio Risk Management; Key Points; CHAPTER 2 Simple Linear Regression; THE ROLE OF CORRELATION; Stock Return Example; REGRESSION MODEL: LINEAR FUNCTIONAL RELATIONSHIP BETWEEN TWO VARIABLES 327 $aDISTRIBUTIONAL ASSUMPTIONS OF THE REGRESSION MODEL ESTIMATING THE REGRESSION MODEL; Application to Stock Returns; GOODNESS-OF-FIT OF THE MODEL; Relationship between Coefficient of Determination and Correlation Coefficient; TWO APPLICATIONS IN FINANCE; Estimating the Characteristic Line of a Mutual Fund; Controlling the Risk of a Stock Portfolio; LINEAR REGRESSION OF A NONLINEAR RELATIONSHIP; Linear Regression of Exponential Data; KEY POINTS; CHAPTER 3 Multiple Linear Regression; THE MULTIPLE LINEAR REGRESSION MODEL; ASSUMPTIONS OF THE MULTIPLE LINEAR REGRESSION MODEL 327 $aESTIMATION OF THE MODEL PARAMETERSDESIGNING THE MODEL; DIAGNOSTIC CHECK AND MODEL SIGNIFICANCE; Testing for the Significance of the Model; Testing for the Significance of the Independent Variables; The F-Test for Inclusion of Additional Variables; APPLICATIONS TO FINANCE; Estimation of Empirical Duration; Predicting the 10-Year Treasury Yield; Benchmark Selection: Sharpe Benchmarks; Return-Based Style Analysis for Hedge Funds; Rich/Cheap Analysis for the Mortgage Market; Testing for Strong-Form Pricing Efficiency; Tests of the Capital Asset Pricing Model; Evidence for Multifactor Models 327 $aKEY POINTS CHAPTER 4 Building and Testing a Multiple Linear Regression Model; THE PROBLEM OF MULTICOLLINEARITY; Procedures for Mitigating Multicollinearity; MODEL BUILDING TECHNIQUES; Stepwise Inclusion Regression Method; Stepwise Exclusion Regression Method; Standard Stepwise Regression Method; TESTING THE ASSUMPTION OF THE MULTIPLE LINEAR REGRESSION MODEL; Tests for Linearity; Assumed Statistical Properties about the Error Term; Tests for the Residuals Being Normally Distributed; Tests For Constant Variance of the Error Term (Homoscedasticity); Absence of Autocorrelation of the Residuals 327 $aKEY POINTS CHAPTER 5 Introduction to Time Series Analysis; WHAT IS A TIME SERIES?; DECOMPOSITION OF TIME SERIES; Application to S&P 500 Index Returns; REPRESENTATION OF TIME SERIES WITH DIFFERENCE EQUATIONS; APPLICATION: THE PRICE PROCESS; Random Walk; Error Correction; KEY POINTS; CHAPTER 6 Regression Models with Categorical Variables; INDEPENDENT CATEGORICAL VARIABLES; Statistical Tests; DEPENDENT CATEGORICAL VARIABLES; Linear Probability Model; Probit Regression Model; Logit Regression Model; KEY POINTS; CHAPTER7 Quantile Regressions; LIMITATIONS OF CLASSICAL REGRESSION ANALYSIS 327 $aPARAMETER ESTIMATION 330 $aAn accessible guide to the growing field of financial econometrics As finance and financial products have become more complex, financial econometrics has emerged as a fast-growing field and necessary foundation for anyone involved in quantitative finance. The techniques of financial econometrics facilitate the development and management of new financial instruments by providing models for pricing and risk assessment. In short, financial econometrics is an indispensable component to modern finance. Financial Econometric Basics covers the commonly used techniques in the fie 410 0$aFrank J. Fabozzi series. 410 0$aTHEi Wiley ebooks. 606 $aFinance$xEconometric models 606 $aEconometrics 615 0$aFinance$xEconometric models. 615 0$aEconometrics. 676 $a330.01/5195 700 $aFabozzi$b Frank J$0109596 702 $aFabozzi$b Frank J. 702 $aHo?chsto?tter$b Markus 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910140283203321 996 $aThe basics of financial econometrics$92885051 997 $aUNINA