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Applied Financial Econometrics Moinak Maiti

Applied Financial Econometrics By Moinak Maiti

Applied Financial Econometrics by Moinak Maiti


£37.99
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Summary

This textbook gives students an approachable, down to earth resource for the study of financial econometrics. This book will be beneficial for both students and tutors who are associated with econometrics subjects at any level.

Applied Financial Econometrics Summary

Applied Financial Econometrics: Theory, Method and Applications by Moinak Maiti

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.

About Moinak Maiti

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

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

Additional information

NGR9789811640650
9789811640650
9811640653
Applied Financial Econometrics: Theory, Method and Applications by Moinak Maiti
New
Paperback
Springer Verlag, Singapore
2022-09-02
287
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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