RATS handbook to accompany: introductory econometrics for finance
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge [u.a.]
Cambridge Univ. Press
2009
|
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016761088&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | Includes bibliographical references and index |
| Umfang: | XII, 201 S. |
| ISBN: | 9780521896955 9780521721684 |
Internformat
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| 246 | 1 | 3 | |a Regression analysis of time series handbook to accompany |
| 246 | 1 | 3 | |a Regression analysis of time-series handbook to accompany |
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| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Datenverarbeitung | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Finance |x Econometric models | |
| 650 | 4 | |a Finance |x Mathematical models | |
| 650 | 4 | |a Regression analysis |x Data processing | |
| 650 | 4 | |a Econometrics | |
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Datensatz im Suchindex
| _version_ | 1819245170881724416 |
|---|---|
| adam_text | CONTENTS LIST OF FIGURES PAGE VIII LIST OF SCREENSHOTS IX PREFACE XI 1
INTRODUCTION 1 1.1 DESCRIPTION 1 1.2 RATSDATA 2 1.3 ACCOMPLISHING SIMPLE
TASKS IN RATS 2 1.4 FURTHER READING 2 1.5 OTHER SOURCES OF INFORMATION
AND PROGRAMS 3 1.6 OPENING THE SOFTWARE 3 1.7 TYPES OF RATS FILES 5 1.8
READING (LOADING) DATA IN RATS 6 1.9 READING IN DATA ON UK HOUSE PRICES
8 1.10 MIXING AND MATCHING FREQUENCIES AND PRINTING 11 1.11
TRANSFORMATIONS 11 1.12 COMPUTING SUMMARY STATISTICS 12 1.13 PLOTS 14
1.14 COMMENT LINES 17 1.15 PRINTING RESULTS 18 1.16 SAVING THE
INSTRUCTIONS AND RESULTS 18 1.17 ECONOMETRIC TOOLS AVAILABLE IN RATS 18
1.18 OUTLINE OF THE REMAINDER OF THIS BOOK 20 2 THE CLASSICAL LINEAR
REGRESSION MODEL 22 2.1 HEDGE RATIO ESTIMATION USING OLS 22 2.2 STANDARD
ERRORS AND HYPOTHESIS TESTING 28 2.3 ESTIMATION AND HYPOTHESIS TESTING
WITH THE CAPM 30 VI CONTENTS 3 FURTHER DEVELOPMENT AND ANALYSIS OF THE
CLASSICAL LINEAR REGRESSION MODEL 34 3.1 CONDUCTING MULTIPLE HYPOTHESIS
TESTS 34 3.2 MULTIPLE REGRESSION USING AN APT-STYLE MODEL 36 3.3
STEPWISE REGRESSION 39 3.4 CONSTRUCTING REPORTS 41 4 DIAGNOSTIC TESTING
43 4.1 TESTING FOR HETEROSCEDASTICITY 44 4.2 A DIGRESSION ON SMPL 51 4.3
USING WHITE S MODIFIED STANDARD ERROR ESTIMATES 52 4.4 AUTOCORRELATION
AND DYNAMIC MODELS 53 4.5 TESTING FOR NON-NORMALITY 57 4.6 DUMMY
VARIABLE CONSTRUCTION AND USE 58 4.7 TESTING FOR MULTICOLLINEARITY 62
4.8 THE RESET TEST FOR FUNCTIONAL FORM 63 4.9 PARAMETER STABILITY TESTS
65 5 FORMULATING AND ESTIMATING ARMA MODELS 71 5.1 GETTING STARTED 72
5.2 FORECASTING USING ARMA MODELS 79 5.3 EXPONENTIAL SMOOTHING MODELS 83
6 MULTIVARIATE MODELS 86 6.1 SETTING UP A SYSTEM 86 6.2 A HAUSMAN TEST
89 6.3 VAR ESTIMATION 92 6.4 SELECTING THE OPTIMAL LAG LENGTH FOR A VAR
96 6.5 IMPULSE RESPONSES AND VARIANCE DECOMPOSITIONS 100 7 MODELLING
LONG-RUN RELATIONSHIPS 106 7.1 TESTING FOR UNIT ROOTS 106 7.2 TESTING
FOR COINTEGRATION AND MODELLING COINTEGRATED VARIABLES 108 7.3 USING THE
SYSTEMS-BASED APPROACH TO TESTING FOR COINTEGRATION 113 8 MODELLING
VOLATILITY AND CORRELATION 120 8.1 ESTIMATING EWMA MODELS 120 8.2
TESTING FOR ARCH-EFFECTS 121 8.3 GARCH MODEL ESTIMATION 123 8.4
ESTIMATING GJR AND EGARCH MODELS 128 8.5 TESTS FOR SIGN AND SIZE BIAS
132 CONTENTS VII 8.6 THE GARCH(1,1)-M MODEL 135 8.7 FORECASTING FROM
GARCH MODELS 137 8.8 MULTIVARIATE GARCH MODELS 140 9 SWITCHING MODELS
145 9.1 DUMMY VARIABLES FOR SEASONALITY 145 9.2 MARKOV SWITCHING MODELS
149 9.3 THRESHOLD AUTOREGRESSIVE MODELS 153 10 PANEL DATA 160 10.1
SETTING UP THE PANEL 160 10.2 ESTIMATING FIXED OR RANDOM EFFECTS PANEL
MODELS 163 11 LIMITED DEPENDENT VARIABLE MODELS 168 11.1 READING IN THE
DATA 169 11.2 THE LOGIT AND PROBIT MODELS 170 12 SIMULATION METHODS 175
12.1 SIMULATING DICKEY-FULLER CRITICAL VALUES 176 12.2 PRICING ASIAN
OPTIONS 179 12.3 SIMULATING THE PRICE OF AN OPTION USING A FAT-TAILED
PROCESS 183 12.4 VAR ESTIMATION USING BOOTSTRAPPING 186 APPENDIX:
SOURCES OF DATA IN THIS BOOK 194 REFERENCES 195 INDEX 199
|
| any_adam_object | 1 |
| author | Brooks, Chris |
| author_facet | Brooks, Chris |
| author_role | aut |
| author_sort | Brooks, Chris |
| author_variant | c b cb |
| building | Verbundindex |
| bvnumber | BV035093004 |
| callnumber-first | H - Social Science |
| callnumber-label | HG173 |
| callnumber-raw | HG173 |
| callnumber-search | HG173 |
| callnumber-sort | HG 3173 |
| callnumber-subject | HG - Finance |
| classification_rvk | QH 310 |
| ctrlnum | (OCoLC)241304492 (DE-599)BVBBV035093004 |
| dewey-full | 330.015195 332.01/519536 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics 332 - Financial economics |
| dewey-raw | 330.015195 332.01/519536 |
| dewey-search | 330.015195 332.01/519536 |
| dewey-sort | 3330.015195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV035093004 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T13:19:59Z |
| institution | BVB |
| isbn | 9780521896955 9780521721684 |
| language | English |
| lccn | 2008033463 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016761088 |
| oclc_num | 241304492 |
| open_access_boolean | |
| owner | DE-945 |
| owner_facet | DE-945 |
| physical | XII, 201 S. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Cambridge Univ. Press |
| record_format | marc |
| spellingShingle | Brooks, Chris RATS handbook to accompany introductory econometrics for finance Datenverarbeitung Mathematisches Modell Ökonometrisches Modell Finance Econometric models Finance Mathematical models Regression analysis Data processing Econometrics Ökonometrie (DE-588)4132280-0 gnd Finanzmathematik (DE-588)4017195-4 gnd RATS 4.0 (DE-588)4504082-5 gnd |
| subject_GND | (DE-588)4132280-0 (DE-588)4017195-4 (DE-588)4504082-5 |
| title | RATS handbook to accompany introductory econometrics for finance |
| title_alt | Regression analysis of time series handbook to accompany Regression analysis of time-series handbook to accompany |
| title_auth | RATS handbook to accompany introductory econometrics for finance |
| title_exact_search | RATS handbook to accompany introductory econometrics for finance |
| title_full | RATS handbook to accompany introductory econometrics for finance Chris Brooks |
| title_fullStr | RATS handbook to accompany introductory econometrics for finance Chris Brooks |
| title_full_unstemmed | RATS handbook to accompany introductory econometrics for finance Chris Brooks |
| title_short | RATS handbook to accompany |
| title_sort | rats handbook to accompany introductory econometrics for finance |
| title_sub | introductory econometrics for finance |
| topic | Datenverarbeitung Mathematisches Modell Ökonometrisches Modell Finance Econometric models Finance Mathematical models Regression analysis Data processing Econometrics Ökonometrie (DE-588)4132280-0 gnd Finanzmathematik (DE-588)4017195-4 gnd RATS 4.0 (DE-588)4504082-5 gnd |
| topic_facet | Datenverarbeitung Mathematisches Modell Ökonometrisches Modell Finance Econometric models Finance Mathematical models Regression analysis Data processing Econometrics Ökonometrie Finanzmathematik RATS 4.0 |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016761088&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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