Overview

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.

Full Product Details

Author:   Moinak Maiti
Publisher:   Springer Verlag, Singapore
Imprint:   Palgrave Macmillan
Edition:   1st ed. 2021
Weight:   0.420kg
ISBN:  

9789811640650

ISBN 10:   9811640653
Pages:   287
Publication Date:   02 September 2022
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand  
We will order this item for you from a manufactured on demand supplier.

Table of Contents

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. - Chapter 8. Introduction to Fat tails: Fat tails in financial data How to handle fat tails It’s implication on investment decision. - Chapter 9. Introduction to Nonlinear Models: Threshold Regression TAR (Discrete) & STAR (Smooth). - Chapter 10. Introduction to Wavelets: Multi scale Wavelet decomposition; Wavelet Covariance and Correlation; Wavelet Coherence; and Wavelet Clustering

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Author Information

Moinak Maiti is Associate Professor in the Department of Finance, National Research University Higher School of Economics, Saint Petersburg, Russia

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