HANDBOOK OF STATISTICS STATISTICAL METHODS IN FINANCE MADDALA G., RAO C. Księgarnia

A comprehensive reference work for teaching at graduate level and research in empirical finance. The chapters cover a wide range of statistical and probabilistic methods applied to a variety of financial methods and are written by internationally renowned experts.

Contents

Asset Pricing.
Econometric Evaluation of Asset Pricing Models (W.E. Ferson, R. Jegannathan).
Instrumental Variables Estimation of Conditional Beta Pricing Models (C.R. Harvey, C.M. Kirby).
Semiparametric Methods for Asset Pricing Models (B.N. Lehmann).

Term Structure of Interest Rates.
Modeling the Term Structure (A.R. Pagan, A.D. Hall, V. Martin).

Volatility.
Stochastic Volatility (E. Ghysels, A.C. Harvey, E. Renault).
Stock Price Volatility (S.F. LeRoy).
GARCH Models of Volatility (F.C. Palm).

Prediction.
Forecast Evaluation and Combination (F.X. Diebold, J.A. Lopez).
Predictable Components in Stock Returns (G. Kaul).
Interest Rate Spreads as Predictors of Business Cyles (K. Lahiri, J.G. Wang).

Alternative Probabilistic Models.
Nonlinear Time Series, Complexity Theory, and Finance (W.A. Brock, P.J.F. deLima).
Count Data Models for Financial Data (A.C. Cameron, P.K. Trivedi).
Financial Applications of Stable Distributions (J.H. McCulloch).
Probability Distributions for Financial Models (J.B. McDonald).

Applications of Specialized Statistical Methods.
Bootstrap Based Tests in Financial Models (G.S. Maddala, H. Li).
Principal Components Analysis (C.R. Rao).
Errors in Variables Problems in Finance (G.S. Maddala, M. Nimalendran).
Financial Applications of Artificial Neural Networks (M. Qi).
Applications of Limited Dependent Variable Models in Finance (G.S. Maddala).

Miscellaneous Other Problems.
Testing Option Pricing Models (D.S. Bates).
Peso Problems: Their Theoretical and Empirical Implications (M.D.D. Evans).
Modeling Market Microstructure Time Series (J. Hasbrouck).
Statistical Methods in Tests of Portfolio Efficiency: A Synthesis (J. Shanken).
Subject Index.
Contents of Previous Volumes.

732 pages

Po otrzymaniu zamówienia poinformujemy,
czy wybrany tytuł polskojęzyczny lub anglojęzyczny jest aktualnie na półce księgarni.