LEADER 05600nam 2200733 a 450 001 9911019506803321 005 20200520144314.0 010 $a9786610827114 010 $a9781119201847 010 $a1119201845 010 $a9781280827112 010 $a1280827114 010 $a9780470121528 010 $a0470121521 035 $a(CKB)1000000000354616 035 $a(EBL)290288 035 $a(OCoLC)162502457 035 $a(SSID)ssj0000154975 035 $a(PQKBManifestationID)11163897 035 $a(PQKBTitleCode)TC0000154975 035 $a(PQKBWorkID)10099685 035 $a(PQKB)10897927 035 $a(PQKBManifestationID)16030360 035 $a(PQKB)20962544 035 $a(MiAaPQ)EBC290288 035 $a(FR-PaCSA)88944625 035 $a(FRCYB88944625)88944625 035 $a(Perlego)2760233 035 $a(EXLCZ)991000000000354616 100 $a20070208d2007 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 00$aFinancial econometrics $efrom basics to advanced modeling techniques /$fSvetlozar T. Rachev ... [et al.] 210 $aHoboken, N.J. $cWiley$dc2007 215 $a1 online resource (575 p.) 225 1 $aFrank J. Fabozzi series 300 $aDescription based upon print version of record. 311 08$a9780471784500 311 08$a0471784508 320 $aIncludes bibliographical references and index. 327 $aFinancial Econometrics: From Basics to Advanced Modeling Techniques; Contents; Preface; Abbreviations and Acronyms; About the Authors; Chapter 1: Financial Econometrics: Scope and Methods; THE DATA GENERATING PROCESS; FINANCIAL ECONOMETRICS AT WORK; TIME HORIZON OF MODELS; APPLICATIONS; APPENDIX: INVESTMENT MANAGEMENT PROCESS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 2: Review of Probability and Statistics; CONCEPTS OF PROBABILITY; PRINCIPLES OF ESTIMATION; BAYESIAN MODELING; APPENDIX A: INFORMATION STRUCTURES; APPENDIX B: FILTRATION 327 $aCONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION)Chapter 3: Regression Analysis: Theory and Estimation; THE CONCEPT OF DEPENDENCE; REGRESSIONS AND LINEAR MODELS; ESTIMATION OF LINEAR REGRESSIONS; SAMPLING DISTRIBUTIONS OF REGRESSIONS; DETERMINING THE EXPLANATORY POWER OF A REGRESSION; USING REGRESSION ANALYSIS IN FINANCE; STEPWISE REGRESSION; NONNORMALITY AND AUTOCORRELATION OF THE RESIDUALS; PITFALLS OF REGRESSIONS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 4: Selected Topics in Regression Analysis; CATEGORICAL AND DUMMY VARIABLES IN REGRESSION MODELS 327 $aCONSTRAINED LEAST SQUARESTHE METHOD OF MOMENTS AND ITS GENERALIZATIONS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 5: Regression Applications in Finance; APPLICATIONS TO THE INVESTMENT MANAGEMENT PROCESS; A TEST OF STRONG-FORM PRICING EFFICIENCY; TESTS OF THE CAPM; USING THE CAPM TO EVALUATE MANAGER PERFORMANCE: THE JENSEN MEASURE; EVIDENCE FOR MULTIFACTOR MODELS; BENCHMARK SELECTION: SHARPE BENCHMARKS; RETURN-BASED STYLE ANALYSIS FOR HEDGE FUNDS; HEDGE FUND SURVIVAL; BOND PORTFOLIO APPLICATIONS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION) 327 $aChapter 6: Modeling Univariate Time SeriesDIFFERENCE EQUATIONS; TERMINOLOGY AND DEFINITIONS; STATIONARITY AND INVERTIBILITY OF ARMA PROCESSES; LINEAR PROCESSES; IDENTIFICATION TOOLS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 7: Approaches to ARIMA Modeling and Forecasting; OVERVIEW OF BOX-JENKINS PROCEDURE; IDENTIFICATION OF DEGREE OF DIFFERENCING; IDENTIFICATION OF LAG ORDERS; MODEL ESTIMATION; DIAGNOSTIC CHECKING; FORECASTING; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 8: Autoregressive Conditional Heteroskedastic Models; ARCH PROCESS 327 $aGARCH PROCESSESTIMATION OF THE GARCH MODELS; STATIONARY ARMA-GARCH MODELS; LAGRANGE MULTIPLIER TEST; VARIANTS OF THE GARCH MODEL; GARCH MODEL WITH STUDENT'S; DISTRIBUTED INNOVATIONS; MULTIVARIATE GARCH FORMULATIONS; APPENDIX: ANALYSIS OF THE PROPERTIES OF THE GARCH(1,1) MODEL; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 9: Vector Autoregressive Models I; VAR MODELS DEFINED; STATIONARY AUTOREGRESSIVE DISTRIBUTED LAG MODELS; VECTOR AUTOREGRESSIVE MOVING AVERAGE MODELS; FORECASTING WITH VAR MODELS; APPENDIX: EIGENVECTORS AND EIGENVALUES 327 $aCONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION) 330 $aA comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the te 410 0$aFrank J. Fabozzi series. 606 $aEconometrics 606 $aFinance$xMathematical models 615 0$aEconometrics. 615 0$aFinance$xMathematical models. 676 $a332.015195 701 $aRachev$b S. T$g(Svetlozar Todorov)$059738 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9911019506803321 996 $aFinancial econometrics$94423019 997 $aUNINA