Verfügbarkeit: The elements of financial econometrics

The elements of financial econometrics:

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Bibliographische Detailangaben
Beteiligte Personen:	Fan, Jianqing (VerfasserIn), Yao, Qiwei 1960- (VerfasserIn)
Format:	Buch
Sprache:	Englisch
Veröffentlicht:	Cambridge Cambridge University Press [2017]
Schlagwörter:	Ökonometrisches Modell Finance > Econometric models Capital assets pricing model Finanzierung Kreditmarkt Ökonometrie
Links:	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029753819&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029753819&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA
Beschreibung:	Enthält Literaturnachweise: Seite 366-374
Umfang:	xii, 381 Seiten Diagramme 25 cm
ISBN:	9781107191174

Internformat

MARC


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Datensatz im Suchindex

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adam_text	THE ELEMENTS OF FINANCIAL ECONOMETRICS / FAN, JIANQINGYYEAUTHOR : 2017 TABLE OF CONTENTS / INHALTSVERZEICHNIS ASSET RETURNS LINEAR TIME SERIES MODELS HETEROSCEDASTIC VOLATILITY MODELS MULTIVARIATE TIME SERIES ANALYSIS EFFICIENT PORTFOLIOS AND CAPITAL ASSET PRICING MODEL FACTOR PRICING MODELS PORTFOLIO ALLOCATION AND RISK ASSESSMENT CONSUMPTION BASED CAPM PRESENT-VALUE MODELS REFERENCES AUTHOR INDEX SUBJECT INDEX DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT. Contents Preface page ix 1 Asset Returns 1 1.1 Returns 1 1.2 Behavior of financial return data 7 1.3 Efficient markets hypothesis and statistical models for returns 16 1.4 Tests related to efficient markets hypothesis 21 1.5 Appendix: Q-Q plot and Jarque—Bera test 27 1.6 Further reading and software implementation 29 1.7 Exercises 30 2 Linear Time Series Models 33 2.1 Stationarity 33 2.2 Stationary ARM A models 36 2.3 Nonstationary and long memory ARMA processes 53 2.4 Model selection using ACF, PACF and EACF* 58 2.5 Fitting ARMA models: MLE and LSE 62 2.6 Model diagnostics: residual analysis 72 2.7 Model identification based on information criteria 77 2.8 Stochastic and deterministic trends 79 2.9 Forecasting 87 2.10 Appendix: Time series analysis in R 101 2.11 Exercises 105 3 Heteroscedastic Volatility IVIodels 109 3.1 ARCH and GARCH models 110 3.2 Estimation for GARCH models 125 3.3 ARMA-GARCH models 143 3.4 Extended GARCH models 144 Contents vi 3.5 Stochastic volatility models 155 3.6 Appendix: State space models* 160 3.7 Exercises 168 4 Multivariate Time Series Analysis 171 4.1 Stationarity and autocorrelation matrices 171 4.2 Vector autoregressive models 176 4.3 Cointegration 194 4.4 Exercises 209 5 Efficient Portfolios and Capital Asset Pricing Model 211 5.1 Efficient portfolios 211 5.2 Optimizing expected utility function 219 5.3 Capital asset pricing model 221 5.4 Validating CAPM 226 5.5 Empirical studies 234 5.6 Cross-sectional regression 239 5.7 Portfolio optimization without a risk-free asset 240 5.8 CAPM with unknowing risk-free rate 248 5.9 Complements 252 5.10 Exercises 254 6 Factor Pricing Models 257 6.1 Multifactor pricing models 257 6.2 Applications of multifactor models 262 6.3 Model validation with tradable factors 264 6.4 Macroeconomic variables as factors* 274 6.5 Selection of factors 274 6.6 Exercises 283 7 Portfolio Allocation and Risk Assessment 286 7.1 Risk assessment of large portfolios 286 7.2 Estimation of a large volatility matrix 297 7.3 Portfolio allocation with gross-exposure constraints 317 7.4 Portfolio selection and tracking 322 7.5 Empirical applications 325 7.6 Complements 328 7.7 Exercises 331 8 Consumption based CAPM 333 8.1 Utility optimization 333 8.2 Consumption-based CAPM 336 8.3 Mean-variance frontier* 342 Contents vii 8.4 Exercises 345 Present-value Models 34G 9.1 Fundamental price 346 9.2 Rational bubbles 348 9.3 Time-varying expected returns 351 9.4 Empirical evidence 354 9.5 Linear regression under dependence 359 9.6 Exercises 365 References 366 Author Index 375 Subject Index 378
any_adam_object	1
author	Fan, Jianqing Yao, Qiwei 1960-
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author_role	aut aut
author_sort	Fan, Jianqing
author_variant	j f jf q y qy
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callnumber-first	H - Social Science
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dewey-full	332.01/5195
dewey-hundreds	300 - Social sciences
dewey-ones	332 - Financial economics
dewey-raw	332.01/5195
dewey-search	332.01/5195
dewey-sort	3332.01 45195
dewey-tens	330 - Economics
discipline	Wirtschaftswissenschaften
format	Book
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isbn	9781107191174
language	English
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spellingShingle	Fan, Jianqing Yao, Qiwei 1960- The elements of financial econometrics Ökonometrisches Modell Finance Econometric models Capital assets pricing model Finanzierung (DE-588)4017182-6 gnd Kreditmarkt (DE-588)4073788-3 gnd Ökonometrie (DE-588)4132280-0 gnd
subject_GND	(DE-588)4017182-6 (DE-588)4073788-3 (DE-588)4132280-0
title	The elements of financial econometrics
title_auth	The elements of financial econometrics
title_exact_search	The elements of financial econometrics
title_full	The elements of financial econometrics Jianqing Fan (Princeton University, New Jersey), Qiwei Yao (London School of Economics and Political Science)
title_fullStr	The elements of financial econometrics Jianqing Fan (Princeton University, New Jersey), Qiwei Yao (London School of Economics and Political Science)
title_full_unstemmed	The elements of financial econometrics Jianqing Fan (Princeton University, New Jersey), Qiwei Yao (London School of Economics and Political Science)
title_short	The elements of financial econometrics
title_sort	the elements of financial econometrics
topic	Ökonometrisches Modell Finance Econometric models Capital assets pricing model Finanzierung (DE-588)4017182-6 gnd Kreditmarkt (DE-588)4073788-3 gnd Ökonometrie (DE-588)4132280-0 gnd
topic_facet	Ökonometrisches Modell Finance Econometric models Capital assets pricing model Finanzierung Kreditmarkt Ökonometrie
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029753819&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029753819&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA
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