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" The basics of financial econometrics : "
Frank J. Fabozzi, Sergio M. Focardi, Svetlozar T. Rachev, Bala G. Arshanapalli, with the assistance of Markus Hochstotter.
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BL
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| Record Number
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640831
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dltt
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| Main Entry
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Fabozzi, Frank J.
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| Title & Author
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The basics of financial econometrics : : tools, concepts, and asset management applications /\ Frank J. Fabozzi, Sergio M. Focardi, Svetlozar T. Rachev, Bala G. Arshanapalli, with the assistance of Markus Hochstotter.
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| Series Statement
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The Frank J. Fabozzi series
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| Page. NO
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1 online resource (xxi, 428 pages) :: illustrations.
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| ISBN
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9781118727430
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: 1118727436
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: 9781118727232
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: 1118727231
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: 9781306638173
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: 1306638178
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: 111857320X
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: 9781118573204
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9781118797259
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1118797256
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9781118856406
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1118856406
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9781118573204
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| Bibliographies/Indexes
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Includes bibliographical references and index.
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| Contents
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Simple Linear Regression -- Multiple Linear Regression -- Building and Testing a Multiple Linear Regression Model -- Introduction to Time Series Analysis -- Regression Models with Categorical Variables -- Quantile Regressions -- Robust Regressions -- Autoregressive Moving Average Models -- Cointegration -- Autoregressive Heteroscedasticity Model and Its Variants -- Factor Analysis and Principal Components Analysis -- Model Estimation -- Model Selection -- Formulating and Implementing Investment Strategies Using Financial Econometrics -- Appendix A: Descriptive Statistics -- Appendix B: Continuous Probability Distributions Commonly Used in Financial Econometrics -- Appendix C: Inferential Statistics -- Appendix D: Fundamentals of Matrix Algebra -- Appendix E: Model Selection Criterion: AIC and BIC -- Appendix F: Robust Statistics.
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| Abstract
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"An accessible guide to the growing field of financial econometrics ."--Provided by publisher.
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| Subject
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Finance-- Econometric models.
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Econometrics.
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| Dewey Classification
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330.01/5195
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| LC Classification
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HG106.F33 2014eb
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