Financial valuation and econometrics

XVII, 585 S.

Ill., graph. Darst.

Includes index

Probability distribution and statisticsStatistical laws and central limit theorem application : stock return distributions -- Two-variable linear regression application : financial hedging -- Model estimation application : capital asset pricing model -- Constrained regression application : cost of capital -- Time series analysis application : inflation forecasting -- Random walk application : market efficiency -- Autoregression and persistence application : predictability -- Estimation errors and t-tests application : event studies -- Multiple linear regression and stochastic regressors -- Dummy variables and anova application : time effect anomalies -- Specification errors -- Cross-sectional regression application : testing CAPM -- More multiple linear regressions application : multi-factor asset pricing -- Errors-in-variable application : exchange rates and risk premium -- Unit root processes application : purchasing power parity -- Conditional heteroskedasticity application : risk estimation -- Maximum likelihood and goodness of fit application : choice of copulas -- Mean reverting continuous time process application : bonds and term structures -- Implied parameters application : option pricing -- Generalised method of moments application : consumption-based asset pricing -- Multiple time series regression application : term structure of volatilities -- Fixed and random effects models application : synchronicity of stock returns -- Logit and probit regressions application : categorization and prediction.

ECONIS - Online Catalogue of the ZBW