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Empirical Techniques in Finance [electronic resource] /by Ramaprasad Bhar, Shigeyuki Hamori.

by Bhar, Ramaprasad [author.]; Hamori, Shigeyuki [author.]; SpringerLink (Online service).
Material type: materialTypeLabelBookSeries: Springer Finance: Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 2005.Description: XII, 243 p. 30 illus. online resource.ISBN: 9783540276425.Subject(s): Economics | Finance | Economics, Mathematical | Banks and banking | Economics/Management Science | Finance /Banking | Quantitative Finance | Game Theory/Mathematical MethodsDDC classification: 657.8333 | 658.152 Online resources: Click here to access online
Contents:
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.
In: Springer eBooksSummary: The rapid advances in financial technology in the past decade have led to a commensurate increase in sophistication for modelling techniques needed by the researchers for the understanding of financial markets. The book aims at equipping graduate students, market analysts and others with a wide range of empirical techniques. It not only discusses the analytical structures behind such modelling approaches, but also explains how they are applied to actual data. Besides traditional elements of financial econometrics and statistical techniques commonly used in quantitative finance, the book covers: estimation of parametric and non-parametric models; advanced tools to deal with unobserved components; discrete time models of asset prices and of interest rates. Illustrations include speculative equity prices, equity and currency risk premium as well as real investment opportunity analysis and interest rate contingent claim valuation.
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Item type Current location Call number Status Date due Barcode
HG4501-6051 (Browse shelf) Available
HG1501-HG3550 (Browse shelf) Available
Long Loan MAIN LIBRARY
HG1-9999 (Browse shelf) Available

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.

The rapid advances in financial technology in the past decade have led to a commensurate increase in sophistication for modelling techniques needed by the researchers for the understanding of financial markets. The book aims at equipping graduate students, market analysts and others with a wide range of empirical techniques. It not only discusses the analytical structures behind such modelling approaches, but also explains how they are applied to actual data. Besides traditional elements of financial econometrics and statistical techniques commonly used in quantitative finance, the book covers: estimation of parametric and non-parametric models; advanced tools to deal with unobserved components; discrete time models of asset prices and of interest rates. Illustrations include speculative equity prices, equity and currency risk premium as well as real investment opportunity analysis and interest rate contingent claim valuation.

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