Moinak Maiti

Applied Financial Econometrics (eBook, PDF)

Theory, Method and Applications

• Format: PDF

Produktbeschreibung

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.

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Produktdetails

• Verlag: Springer Nature Singapore
• Seitenzahl: 287
• Erscheinungstermin: 31. August 2021
• Englisch
• ISBN-13: 9789811640636
• Artikelnr.: 62524213

Autorenporträt

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

Inhaltsangabe

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, etc.