First of all I would like to express my sincere gratitude to my family and friends for their support, directly or indirectly in making this book a reality. I am thankful to the commissioning and production team at the Palgrave Macmillan publications for their sincere support and consideration. I am also grateful to the three anonymous reviewers for their valuable comments and suggestions for establishment of this book. I give thanks to the almighty god for protection and ability to do work.Special thanks to the learners, students, and colleagues. Lastly I am thankful to everyone who are directly or indirectly associated in making this book a reality.

lgli/9811640629.pdf

lgrsnf/9811640629.pdf

zlib/Business & Economics/Moinak Maiti/Applied Financial Econometrics: Theory, Method and Applications_17253650.pdf

Maiti, Moinak

Springer Nature Singapore Pte Ltd Fka Springer Science + Business Media Singapore Pte Ltd

Springer Nature (Textbooks & Major Reference Works), Singapore, 2021

Singapore, Singapore

2, 20210831

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Preface
Acknowledgements
About This Book
Praise For Applied Financial Econometrics
Contents
About the Author
Abbreviations
List of Figures
List of Tables
1 Introduction
1.1 Background
1.2 Steps to Be Followed in Applied Financial Econometrics Study
1.2.1 Problem Definition or Statement
1.2.2 Selection of Variables
1.2.3 Model Description
1.2.4 Selection of Methods or Techniques
1.2.5 Result Estimation
1.2.6 Interpretation and Validation
1.2.7 Conclusion and Research Implications
1.3 Fundamental Data Types Used in Financial Econometrics Study
1.3.1 Cross-Sectional Data
1.3.2 Time Series Data
1.3.3 Pooled Data
1.3.4 Panel Data
1.4 Software Packages
1.4.1 EViews
1.4.1.1 EViews in Action
1.4.2 R Programming
1.4.2.1 R in Action
1.5 Exercises
1.5.1 Multiple Choice Questions
1.5.2 Fill in the Blanks
1.5.3 Long Answer Questions
1.5.4 Real-World Tasks
1.5.5 Case Studies
2 Random Walk Hypothesis
2.1 Background
2.1.1 What Is Random Walk Hypothesis and Its Implications?
2.1.2 Efficient Market Hypothesis
2.1.3 Random Walk Hypothesis and Martingales
2.1.4 Illustrations of Random Walk Models
2.1.4.1 Random Walk Model with a Fixed Drifts
2.1.4.2 Random Walk Model with Random Drifts
2.2 Finance in Action
2.2.1 EViews Stepwise Implementations
2.3 Exercises
2.3.1 Multiple Choice Questions
2.3.2 Fill in the Blanks
2.3.3 Long Answer Questions
2.3.4 Real-World Tasks
2.3.5 Case Studies
References
3 Geometric Brownian Motion
3.1 Background
3.2 Finance in Action
3.3 Exercises
3.3.1 Multiple Choice Questions
3.3.2 Fill in the Blanks
3.3.3 Long Answer Questions
3.3.4 Real-World Tasks
3.3.5 Case Studies
4 Efficient Frontier and Portfolio Optimization
4.1 Background
4.1.1 Mean-Variance Efficient Frontier
4.1.2 Portfolio Optimization
4.1.3 Capital Market Line and Mean Variance Efficient Frontier
4.2 Finance in Action
4.3 Exercises
4.3.1 Multiple Choice Questions
4.3.2 Fill in the Blanks
4.3.3 Long Answer Questions
4.3.4 Real-World Tasks
4.3.5 Case Studies
References
5 Introduction to Asset Pricing Factor Models
5.1 Background
5.1.1 What Is So Special About Fama and French (1993) Three Factor Asset Pricing Model?
5.1.2 Econometrics of Linear Factor Pricing Models
5.1.3 How to Test One Model Versus the Other
5.1.4 Panel Regression
5.2 Finance in Action
5.2.1 Illustration on Implementation of the Asset Pricing Models
5.2.2 Illustration on Testing the Asset Pricing Models Performance
5.2.3 Illustration on Panel Regression Model
5.3 Exercises
5.3.1 Multiple Choice Questions
5.3.2 Fill in the Blanks
5.3.3 Long Answer Questions
5.3.4 Real-World Tasks
5.3.5 Case Studies
References
6 Risk Analysis
6.1 Background
6.1.1 ARIMA
6.1.2 ARCH & GARCH
6.1.3 VAR
6.2 Finance in Action
6.3 Exercises
6.3.1 Multiple Choice Questions
6.3.2 Fill in the Blanks
6.3.3 Long Answer Questions
6.3.4 Real-World Tasks
6.3.5 Case Studies
References
7 Introduction to Fat Tails
7.1 Background
7.2 Finance in Action
7.3 Exercises
7.3.1 Multiple Choice Questions
7.3.2 Fill in the Blanks
7.3.3 Long Answer Questions
7.3.4 Real-World Tasks
7.3.5 Case Studies
References
8 Threshold Autoregression
8.1 Background
8.2 Finance in Action
8.3 EViews Implementation and Interpretations
8.3.1 Data
8.3.2 Methodology
8.3.3 Test of Stationarity
8.3.4 BDS Test for Independence
8.3.5 Threshold Autoregression
8.3.6 Stepwise Implementation and Interpretations
8.4 Exercises
8.4.1 Multiple Choice Questions
8.4.2 Fill in the Blanks
8.4.3 Long Answer Questions
8.4.4 Real-World Tasks
8.4.5 Case Study
References
9 Introduction to Wavelets
9.1 Background
9.2 Finance in Action
9.3 Exercises
9.3.1 Multiple Choice Questions
9.3.2 Fill in the Blanks
9.3.3 Long Answer Questions
9.3.4 Real-World Tasks
9.3.5 Case Studies
References
Index

"The importance of risk assessment is critical in our modern society and this book shows how, in an advanced cohesive society, this can be done to benefit the citizen. This brings econometrics to life for the student and practitioner. It is balanced, easy to understand and reinforces core principles and techniques and is a much-needed book on one of the core analytic tools of the modern world. Moinak Maiti, based in the Baltic Powerhouse of St. Petersburg, Russia understands econometrics well and explains in a easy to understand manner how to understand and use them to benefit you and your organisation" - Professor Emeritus & Editor, Phil Harris (University of Chester) "This innovative approach to financial_econometrics provides critical introductions to key statistical methods as applied to financial market data. It contains many practical applications and addresses problem solving using state-of-the-art methods and theories. With systematic sections on "Finance in Action" and "Analyst/Investor Corners" in each chapter, this will be an essential guide for econometricians and those working in related areas". - Professor & Editor Emeritus, Guy M Robinson (University of Cambridge, University of Adelaide) "...a delightful book full of econometric topics for those of us who want to master applied financial econometrics, our students and instructors" - Professor & Editor, Su Dinh Thanh (President, University of Economics Ho Chi Minh City) 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. Moinak Maiti is Associate Professor in the Department of Finance, National Research University Higher School of Economics, Saint Petersburg, Russia

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.
Erscheinungsdatum: 01.09.2021

2021-09-08