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Title
Applied financial econometrics : theory, method and applications / Moinak Maiti.
ISBN
9789811640636 (electronic bk.)
9811640637 (electronic bk.)
9789811640629
9811640629
Published
Singapore : Palgrave Macmillan, [2021]
Copyright
©2021
Language
English
Description
1 online resource : illustrations (some color)
Item Number
10.1007/978-981-16-4063-6 doi
Call Number
HG106 .M35 2021
Dewey Decimal Classification
332.015195
Summary
This textbook gives students an approachable, down to earth resource for the study of financial econometrics. While the subject can be intimidating, primarily due to the mathematics and modelling involved, it is rewarding for students of finance and can be taught and learned in a straightforward way. This book, going from basics to high level concepts, offers knowledge of econometrics that is intended to be used with confidence in the real world. This book will be beneficial for both students and tutors who are associated with econometrics subjects at any level. Moinak Maiti is Associate Professor in the Department of Finance, National Research University Higher School of Economics, Saint Petersburg, Russia.
Note
Includes index.
Access Note
Access limited to authorized users.
Source of Description
Online resource; title from PDF title page (SpringerLink, viewed September 10, 2021).
Chapter 1. Scope and Methodology of Econometrics
Chapter 2. Random Walk Hypothesis: Random Walk Models
Chapter 3. Geometric Brownian Motion
Chapter 4. Efficient Frontier
Chapter 5. Portfolio Optimisation
Chapter 6. Introduction to Asset Pricing Factor Models: CAPM Multifactor Asset Pricing Models
Chapter 7. Risk Analysis: Volatility risk ARCH & GARCH Models Value at Risk Models, etc.