Financial Econometrics: From Basics to Advanced Modeling Techniques

Keywords

Econometrics, Bayesian econometrics, Financial econometrics, Capital asset pricing model, Regression analysis

References

• Applied Econometric Time SeriesWalter Enders — 1994
• Solutions Manual and Supplementary Materials for Econometric Analysis of Cross Section and Panel DataJeffrey M. Wooldridge — 2003
• Econometric Analysis of Cross Section and Panel DataJeffrey M. Wooldridge — 2001

Cited by

• Notes on Nonlinear DynamicsFrançois‐Éric Racicot — 2012
• Determining and Forecasting High-Frequency Value at Risk by Using Levy ProcessesWei Sun, Svetlozar T. Rachev, Frank J. Fabozzi — 2006
• Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance MeasuresFrank J. Fabozzi, Stoyan V. Stoyanov, Svetlozar T. Rachev — 2008
• AN OPERATIONAL FRAMEWORK FOR INFLATION TARGETING IN EGYPTDoaa Akl Ahmed — 2012
• The role of the trading volume in explaining the volatility persistence: evidence from Austrian, Belgian and French stock marketMichaela Chocholatá — 2011
• Modelling the Conditional Variance and Asymmetric Response to Past Shocks in the Malaysian Bond MarketMaya Puspa Rahman, Mohd Azmi Omar, Salina Kassim — 2015
• Determinanty struktury kapitałowej w teorii uwzględniającej rynek produktówMarek Barowicz — 2012
• Tempered stable models in finance : theory and applicationsMichele Leonardo Bianchi — 2009
• Trading volume and volatility of stock returns: Evidence from some European and Asian stock marketsMichaela Chocholatá — 2011
• Modelling the Density of Inflation Using Autoregressive Conditional Heteroscedasticity, Skewness, and Kurtosis ModelsDoaa Akl Ahmed — 2011
• Italian Real Estate Investment Funds: Market Structure and Risk MeasurementMichele Leonardo Bianchi, Agostino Chiabrera — 2012
• Modeling Asymmetric Volatility in the Nigerian Stock ExchangeKalu O. Emenike, Aleke Stephen Friday — 2012
• The effect of FDI and other foreign capital inflows on growth and investment in developing economiesHosein A.T. Elboiashi — 2011
• Electricity price forecasting with a BED (Bivariate EMD Denoising) methodologyKaijian He, Lean Yu, Ling Tang — 2015
• An Application of GARCH Modeling on the Malaysian Sukuk SpreadsMaya Puspa Rahman, Mohd Azmi Omar, Salina Kassim — 2013
• On the influence of autocorrelation and GARCH-effects on goodness-of-fit tests for copulasSebastian Garmann, Peter Grundke — 2013
• Tail risk analysis of the S&P/OIC COMCEC 50 indexMahmoud Bekri, Young Shin Kim — 2015
• Portfolio selection in the presence of systemic riskAlmira Biglova, Sergio Ortobelli, Frank J. Fabozzi — 2014
• A Comparison of Multifractal Models for Assets Returns in Economic PerspectiveJian Zhong, Xin Zhao — 2011
• Modelling Exchange Rate Volatility using GARCH Models: Empirical Evidence from Arab CountriesSuliman Zakaria Suliman Abdalla — 2012

Related papers

• Generalized autoregressive conditional heteroskedasticityTim Bollerslev — 1986
• Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflationRobert F. Engle — 1982
• CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACHDaniel B. Nelson — 1991
• Stable Paretian Models in FinanceSvetlozar T. Rachev, Stefan Mittnik — 2000
• On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on StocksLawrence R. Glosten, Ravi Jagannathan, David E. Runkle — 1993
• Distribution of the Estimators for Autoregressive Time Series with a Unit RootDavid A. Dickey, Wayne A. Fuller — 1979
• Stable Non-Gaussian Random Processes : Stochastic Models with Infinite VarianceGennady Samorodnitsky, Murad S. Taqqu — 1995
• Analysis of Financial Time SeriesRuey S. Tsay — 2005
• The Behavior of Stock-Market PricesEugene F. Fama — 1965