Empirical Techniques in Finance

Ramaprasad Bhar, Shigeyuki Hamori (Autoren)

Buch | Softcover

XII, 243 Seiten

2010
Springer Berlin (Verlag)
9783642064173 (ISBN)

Artikel merken

This book offers the opportunity to study and experience advanced empi- cal techniques in finance and in general financial economics. It is not only suitable for students with an interest in the field, it is also highly rec- mended for academic researchers as well as the researchers in the industry. The book focuses on the contemporary empirical techniques used in the analysis of financial markets and how these are implemented using actual market data. With an emphasis on Implementation, this book helps foc- ing on strategies for rigorously combing finance theory and modeling technology to extend extant considerations in the literature. The main aim of this book is to equip the readers with an array of tools and techniques that will allow them to explore financial market problems with a fresh perspective. In this sense it is not another volume in eco- metrics. Of course, the traditional econometric methods are still valid and important; the contents of this book will bring in other related modeling topics that help more in-depth exploration of finance theory and putting it into practice. As seen in the derivatives analysis, modern finance theory requires a sophisticated understanding of stochastic processes. The actual data analyses also require new Statistical tools that can address the unique aspects of financial data. To meet these new demands, this book explains diverse modeling approaches with an emphasis on the application in the field of finance.

The rapid advances in financial technology in the past decade have led to a commensurate increase in sophistication for modeling techniques researchers need to understand financial markets. This book offers advanced modelling techniques to analyse financial and economic systems, emphasizing model implementation using commonly used software systems. It shows readers how to explore complex structures without getting inundated with the underlying mathematics.

Basic Probability Theory and Markov Chains.- Estimation Techniques.- Non-Parametric Method of Estimation.- Unit Root, Cointegration and Related Issues.- VAR Modeling.- Time Varying Volatility Models.- State-Space Models (I).- State-Space Models (II).- Discrete Time Real Asset Valuation Model.- Discrete Time Model of Interest Rate.- Global Bubbles in Stock Markets and Linkages.- Forward FX Market and the Risk Premium.- Equity Risk Premia from Derivative Prices.

Erscheint lt. Verlag	21.10.2010
Reihe/Serie	Springer Finance
Zusatzinfo	XII, 243 p.
Verlagsort	Berlin
Sprache	englisch
Maße	155 x 235 mm
Gewicht	390 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Volkswirtschaftslehre
Schlagworte	Econometrics • Empirical Techniques • Expectation Maximisation • Finance • Financial Econometrics • Financial Markets • Investment • Markov Chain • markov chains • Modeling • Quantitative Finance
ISBN-13	9783642064173 / 9783642064173
Zustand	Neuware