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Título : Applied Econometrics with R Tipo de documento: documento electrónico Autores: Christian Kleiber ; SpringerLink (Online service) ; Achim Zeileis Editorial: New York, NY : Springer New York Fecha de publicación: 2008 Colección: Use R Número de páginas: X, 222 p Il.: online resource ISBN/ISSN/DL: 978-0-387-77318-6 Idioma : Inglés (eng) Palabras clave: Game theory Economics, Mathematical Statistics Economic Econometrics Economics for Business/Economics/Mathematical Finance/Insurance Theory/Quantitative Economics/Mathematical Methods Quantitative Finance Theory, Social and Behav. Sciences Clasificación: 51 Matemáticas Resumen: This is the first book on applied econometrics using the R system for statistical computing and graphics. It presents hands-on examples for a wide range of econometric models, from classical linear regression models for cross-section, time series or panel data and the common non-linear models of microeconometrics such as logit, probit and tobit models, to recent semiparametric extensions. In addition, it provides a chapter on programming, including simulations, optimization, and an introduction to R tools enabling reproducible econometric research. An R package accompanying this book, AER, is available from the Comprehensive R Archive Network (CRAN) at http://CRAN.R-project.org/package=AER. It contains some 100 data sets taken from a wide variety of sources, the full source code for all examples used in the text plus further worked examples, e.g., from popular textbooks. The data sets are suitable for illustrating, among other things, the fitting of wage equations, growth regressions, hedonic regressions, dynamic regressions and time series models as well as models of labor force participation or the demand for health care. The goal of this book is to provide a guide to R for users with a background in economics or the social sciences. Readers are assumed to have a background in basic statistics and econometrics at the undergraduate level. A large number of examples should make the book of interest to graduate students, researchers and practitioners alike. Christian Kleiber is Professor of Econometrics and Statistics at Universität Basel, Switzerland. Achim Zeileis is Assistant Professor in the Dept. of Statistics and Mathematics at Wirtschaftsuniversität Wien, Austria. R users since version 0.64.0, they have been collaborating on econometric methodology in R, including several R packages, for the past eight years. Nota de contenido: Basics -- Linear Regression -- Diagnostics and Alternative Methods of Regression -- Models of Microeconometrics -- Time Series -- Programming Your Own Analysis En línea: http://dx.doi.org/10.1007/978-0-387-77318-6 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34232 Applied Econometrics with R [documento electrónico] / Christian Kleiber ; SpringerLink (Online service) ; Achim Zeileis . - New York, NY : Springer New York, 2008 . - X, 222 p : online resource. - (Use R) .
ISBN : 978-0-387-77318-6
Idioma : Inglés (eng)
Palabras clave: Game theory Economics, Mathematical Statistics Economic Econometrics Economics for Business/Economics/Mathematical Finance/Insurance Theory/Quantitative Economics/Mathematical Methods Quantitative Finance Theory, Social and Behav. Sciences Clasificación: 51 Matemáticas Resumen: This is the first book on applied econometrics using the R system for statistical computing and graphics. It presents hands-on examples for a wide range of econometric models, from classical linear regression models for cross-section, time series or panel data and the common non-linear models of microeconometrics such as logit, probit and tobit models, to recent semiparametric extensions. In addition, it provides a chapter on programming, including simulations, optimization, and an introduction to R tools enabling reproducible econometric research. An R package accompanying this book, AER, is available from the Comprehensive R Archive Network (CRAN) at http://CRAN.R-project.org/package=AER. It contains some 100 data sets taken from a wide variety of sources, the full source code for all examples used in the text plus further worked examples, e.g., from popular textbooks. The data sets are suitable for illustrating, among other things, the fitting of wage equations, growth regressions, hedonic regressions, dynamic regressions and time series models as well as models of labor force participation or the demand for health care. The goal of this book is to provide a guide to R for users with a background in economics or the social sciences. Readers are assumed to have a background in basic statistics and econometrics at the undergraduate level. A large number of examples should make the book of interest to graduate students, researchers and practitioners alike. Christian Kleiber is Professor of Econometrics and Statistics at Universität Basel, Switzerland. Achim Zeileis is Assistant Professor in the Dept. of Statistics and Mathematics at Wirtschaftsuniversität Wien, Austria. R users since version 0.64.0, they have been collaborating on econometric methodology in R, including several R packages, for the past eight years. Nota de contenido: Basics -- Linear Regression -- Diagnostics and Alternative Methods of Regression -- Models of Microeconometrics -- Time Series -- Programming Your Own Analysis En línea: http://dx.doi.org/10.1007/978-0-387-77318-6 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34232 Ejemplares
Signatura Medio Ubicación Sub-localización Sección Estado ningún ejemplar Financial Econometrics and Empirical Market Microstructure / SpringerLink (Online service) ; Anil K. Bera ; Sergey Ivliev ; Fabrizio Lillo (2015)
Título : Financial Econometrics and Empirical Market Microstructure Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Anil K. Bera ; Sergey Ivliev ; Fabrizio Lillo Editorial: Cham : Springer International Publishing Fecha de publicación: 2015 Otro editor: Imprint: Springer Número de páginas: VIII, 284 p. 109 illus Il.: online resource ISBN/ISSN/DL: 978-3-319-09946-0 Idioma : Inglés (eng) Palabras clave: Finance Economics, Mathematical Statistics Econometrics Macroeconomics Finance, general Quantitative Macroeconomics/Monetary Economics//Financial Economics for Business/Economics/Mathematical Finance/Insurance Clasificación: 658 Empresas. Organización de empresas Resumen: In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis Nota de contenido: Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets -- Evidence of Microstructure Variables' Nonlinear Dynamics from Noised High-Frequency Data -- Revisiting of Empirical Zero Intelligence Models -- Construction and Backtesting of a Multi-Factor Stress-Scenario for the Stock Market -- Modeling Financial Market Using Percolation Theory -- How Tick Size Affects the High Frequency Scaling of Stock Return Distributions -- Market Shocks: Review of Studies -- The Synergy of Rating Agencies' Efforts: Russian Experience -- Spread Modelling Under Asymmetric Information -- On the Modeling of Financial Time Series -- Adaptive Stress Testing: Amplifying Network Intelligence by Integrating Outlier Information -- On Some Approaches to Managing Market Risk Using Var Limits: A Note -- Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets -- Raising Issues About Impact of High Frequency Trading on Market Liquidity -- Application of Copula Models for Modeling One-Dimensional Time Series -- Modeling Demand for Mortgage Loans Using Loan-Level Data -- Sample Selection Bias in Mortgage Market Credit Risk Modeling -- Global Risk Factor Theory and Risk Scenario Generation Based on the Rogov-Causality Test of Time Series Time-Warped Longest Common Subsequence -- Stress-Testing Model for Corporate Borrower Portfolios En línea: http://dx.doi.org/10.1007/978-3-319-09946-0 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=35451 Financial Econometrics and Empirical Market Microstructure [documento electrónico] / SpringerLink (Online service) ; Anil K. Bera ; Sergey Ivliev ; Fabrizio Lillo . - Cham : Springer International Publishing : Imprint: Springer, 2015 . - VIII, 284 p. 109 illus : online resource.
ISBN : 978-3-319-09946-0
Idioma : Inglés (eng)
Palabras clave: Finance Economics, Mathematical Statistics Econometrics Macroeconomics Finance, general Quantitative Macroeconomics/Monetary Economics//Financial Economics for Business/Economics/Mathematical Finance/Insurance Clasificación: 658 Empresas. Organización de empresas Resumen: In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis Nota de contenido: Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets -- Evidence of Microstructure Variables' Nonlinear Dynamics from Noised High-Frequency Data -- Revisiting of Empirical Zero Intelligence Models -- Construction and Backtesting of a Multi-Factor Stress-Scenario for the Stock Market -- Modeling Financial Market Using Percolation Theory -- How Tick Size Affects the High Frequency Scaling of Stock Return Distributions -- Market Shocks: Review of Studies -- The Synergy of Rating Agencies' Efforts: Russian Experience -- Spread Modelling Under Asymmetric Information -- On the Modeling of Financial Time Series -- Adaptive Stress Testing: Amplifying Network Intelligence by Integrating Outlier Information -- On Some Approaches to Managing Market Risk Using Var Limits: A Note -- Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets -- Raising Issues About Impact of High Frequency Trading on Market Liquidity -- Application of Copula Models for Modeling One-Dimensional Time Series -- Modeling Demand for Mortgage Loans Using Loan-Level Data -- Sample Selection Bias in Mortgage Market Credit Risk Modeling -- Global Risk Factor Theory and Risk Scenario Generation Based on the Rogov-Causality Test of Time Series Time-Warped Longest Common Subsequence -- Stress-Testing Model for Corporate Borrower Portfolios En línea: http://dx.doi.org/10.1007/978-3-319-09946-0 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=35451 Ejemplares
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Título : Handbook of Financial Econometrics and Statistics Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Cheng-Few Lee ; John C. Lee Editorial: New York, NY : Springer New York Fecha de publicación: 2015 Otro editor: Imprint: Springer Número de páginas: eReference Il.: online resource ISBN/ISSN/DL: 978-1-4614-7750-1 Idioma : Inglés (eng) Palabras clave: Finance Economics, Mathematical Statistics Econometrics Finance, general Quantitative for Business/Economics/Mathematical Finance/Insurance Clasificación: 658 Empresas. Organización de empresas Resumen: The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices Nota de contenido: Introduction to Financial Econometrics and Statistics -- Experience, Information Asymmetry, and Rational Forecast Bias -- An Overview of Modeling Dimensions for Performance Appraisal of Global Mutual Funds -- Simulation as a Research Tool for Market Architects -- Motivations for Issuing Putable Debt: An Empirical Analysis -- Multi Risk-Premia Model of U.S. Bank Returns: An Integration of CAPM and APT -- Non-Parametric Bounds for European Option Prices -- Can Time-Varying Copulas Improve Mean-Variance Portfolio?- Determinations of Corporate Earnings Forecast Accuracy: Taiwan Market Experience -- Market-Based Accounting Research (MBAR) Models: A Test of ARIMAX Modeling -- An Assessment of Copula Functions Approach in Conjunction with Factor Model in Portfolio Credit Risk Management -- Assessing Importance of Time-Series versus Cross-Sectional Changes in Panel Data: A Study of International Variations in Ex-Ante Equity Premia and Financial Architecture -- Does Banking Capital Reduce Risk?: An Application of Stochastic Frontier Analysis and GMM Approach -- Evaluating Long-Horizon Event Study Methodology -- Effect of Unexpected Volatility Shocks on Intertemporal Risk-Return Relation -- Combinatorial Methods for Constructing Credit Risk Ratings -- Dynamic Interactions in the Taiwan Stock Exchange: A Threshold VAR Model -- Methods of Denoising Financial Data -- Analysis of Financial Time-Series using Wavelet Methods -- Composite Goodness-of-Fit Tests for Left Truncated Loss Sample -- Effect of Merger on the Credit Rating and Performance of Taiwan Security Firms -- On-/off-the-Run Yield Spread Puzzle: Evidence from Chinese Treasury Markets -- Factor Copula for Defaultable Basket Credit Derivatives -- Panel Data Analysis and Bootstrapping: Application to China Mutual Funds -- Market Segmentation and Pricing of Closed-end Country Funds: An Empirical Analysis -- A Comparison of Portfolios using Different Risk Measurements -- Using Alternative Models and a Combining Technique in Credit Rating Forecasting: An Empirical Study -- Can We Use the CAPM as an Investment Strategy?: An Intuitive CAPM and Efficiency Test -- Group Decision Making Tools for Managerial Accounting and Finance Applications -- Statistics Methods Applied in Employee Stock Options -- Structural Change and Monitoring Tests -- Consequences of Option Pricing of a Long Memory in Volatility -- Seasonal aspects of Australian electricity market -- Pricing Commercial Timberland Returns in the United States -- Optimal Orthogonal Portfolios with Conditioning Information -- Multi Factor, Multi Indicator Approach to Asset Pricing: Method and Empirical Evidence -- Binomial OPM, Black-Scholes OPM and Their Relationship: Decision Tree and Microsoft Excel Approach -- Dividend Payments and Share Repurchases of U.S. Firms: An Econometric Approach -- Term Structure Modeling and Forecasting Using the Nelson-Siegel Model -- The intertemporal relation between expected return and risk on currency -- Quantile Regression and Value-at-Risk -- Earnings Quality and Board Structure: Evidence from South East Asia -- Rationality and Heterogeneity of Survey Forecasts of the Yen-Dollar Exchange Rate: A Reexamination -- Stochastic Volatility Structures and Intra-Day Asset Price Dynamics -- Optimal Asset Allocation under VaR Criterion: Taiwan Stock Market -- Applications of Switching Model in Finance and Accounting -- Matched Sample Comparison Group Analysis -- A Quasi-Maximum Likelihood Estimation Strategy for Value-at-Risk Forecasting: Application to Equity Index Futures Markets -- Computer Technology for Financial Service -- Long-Run Stock Return and the Statistical Inference -- Value-at-Risk Estimation via a Semi-Parametric Approach: Evidence from the Stock Markets -- Modeling Multiple Asset Returns by a Time-Varying t Copula Model -- Internet Bubble Examination with Mean-Variance Ratio -- Quantile Regression in Risk Calibration -- Strike Prices of Options for Overconfident Executives -- Density and Conditional Distribution Based Specification Analysis -- Assessing the Performance of Estimators Dealing with Measurement Errors -- Realized Distributions of Dynamic Conditional Correlation and Volatility Thresholds in the Crude Oil, Gold and Dollar/Pound Currency Markets -- Pre-IT Policy, Post-IT Policy, and the Real Sphere in Turkey -- Determination of Capital Structure: A LISREL Model Approach -- Evaluating the Effectiveness of Futures Hedging -- Evidence on Earning Management by Integrated Oil and Gas Companies -- A Comparative Study of Two Models SV with MCMC Algorithm -- Internal Control Material Weakness, Analysts Accuracy and Bias, and Brokerage Reputation -- What Increases Banks Vulnerability to Financial Crisis: Short-Term Financing or Illiquid Assets?- Accurate Formulae for Evaluating Barrier Options with Dividends Payout and the Application in Credit Risk Valuation -- Pension Funds: Financial Econometrics on the Herding Phenomenon in Spain and the United Kingdom -- Estimating the Correlation of Asset Returns: A Quantile Dependence Perspective -- Multi-Criteria Decision Making for Evaluating Mutual Funds Investment Strategies -- Econometric Analysis of Currency Carry Trade -- Analytical Bounds for Treasury Bond Futures prices -- Rating Dynamics of Fallen Angels and their Speculative Grade-Rated Peers: Static vs. Dynamic Approach -- Creation and Control of Bubbles: Managers Compensation Schemes, Risk Aversion, and Wealth and Short Sale Constraints -- Range Volatility: A Review of Models and Empirical Studies -- Business Models: Applications to Capital Budgeting, Equity Value, and Return Attribution -- VAR Models: Estimation, Inferences, and Applications -- Model Selection for High-Dimensional Problems -- Hedonic Regression Models -- Optimal Payout Ratio under Uncertainty and the Flexibility Hypothesis: Theory and Empirical Evidence -- Modeling Asset Returns with Skewness, Kurtosis, and Outliers -- Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers: Combined Estimator Approach -- A VG-NGARCH Model for Impacts of Extreme Events on Stock Returns -- Risk-Averse Portfolio Optimization via Stochastic Dominance Constraints -- Implementation Problems and Solutions in Stochastic Volatility Models of the Heston Type -- Stochastic Change-Point Models of Asset Returns and Their Volatilities -- Unspanned Stochastic Volatilities and Interest Rate Derivatives Pricing -- Alternative Equity Valuation Models -- Time Series Models to Predict the Net Asset Value (NAV) of an Asset Allocation Mutual Fund VWELX -- Discriminant Analysis and Factor Analysis: Theory And Method -- Implied Volatility: Theory and Empirical Method -- Measuring Credit Risk in a Factor Copula Model -- Instantaneous Volatility Estimation by Nonparametric Fourier Transform Methods -- A Dynamic CAPM with Supply Effect Theory and Empirical Results -- A Generalized Model for Optimum Futures Hedge Ratio -- Instrument Variable Approach to Correct for Endogeneity in Finance -- Application of Poisson Mixtures in the Estimation of Probability of Informed Trading -- CEO Stock Options and Analysts Forecast Accuracy and Bias -- Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Rates -- THE LE CHÂTELIER PRINCIPLE OF THE CAPITAL MARKET EQUILIBRIUM -- Econometric Measures of Liquidity En línea: http://dx.doi.org/10.1007/978-1-4614-7750-1 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=35367 Handbook of Financial Econometrics and Statistics [documento electrónico] / SpringerLink (Online service) ; Cheng-Few Lee ; John C. Lee . - New York, NY : Springer New York : Imprint: Springer, 2015 . - eReference : online resource.
ISBN : 978-1-4614-7750-1
Idioma : Inglés (eng)
Palabras clave: Finance Economics, Mathematical Statistics Econometrics Finance, general Quantitative for Business/Economics/Mathematical Finance/Insurance Clasificación: 658 Empresas. Organización de empresas Resumen: The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices Nota de contenido: Introduction to Financial Econometrics and Statistics -- Experience, Information Asymmetry, and Rational Forecast Bias -- An Overview of Modeling Dimensions for Performance Appraisal of Global Mutual Funds -- Simulation as a Research Tool for Market Architects -- Motivations for Issuing Putable Debt: An Empirical Analysis -- Multi Risk-Premia Model of U.S. Bank Returns: An Integration of CAPM and APT -- Non-Parametric Bounds for European Option Prices -- Can Time-Varying Copulas Improve Mean-Variance Portfolio?- Determinations of Corporate Earnings Forecast Accuracy: Taiwan Market Experience -- Market-Based Accounting Research (MBAR) Models: A Test of ARIMAX Modeling -- An Assessment of Copula Functions Approach in Conjunction with Factor Model in Portfolio Credit Risk Management -- Assessing Importance of Time-Series versus Cross-Sectional Changes in Panel Data: A Study of International Variations in Ex-Ante Equity Premia and Financial Architecture -- Does Banking Capital Reduce Risk?: An Application of Stochastic Frontier Analysis and GMM Approach -- Evaluating Long-Horizon Event Study Methodology -- Effect of Unexpected Volatility Shocks on Intertemporal Risk-Return Relation -- Combinatorial Methods for Constructing Credit Risk Ratings -- Dynamic Interactions in the Taiwan Stock Exchange: A Threshold VAR Model -- Methods of Denoising Financial Data -- Analysis of Financial Time-Series using Wavelet Methods -- Composite Goodness-of-Fit Tests for Left Truncated Loss Sample -- Effect of Merger on the Credit Rating and Performance of Taiwan Security Firms -- On-/off-the-Run Yield Spread Puzzle: Evidence from Chinese Treasury Markets -- Factor Copula for Defaultable Basket Credit Derivatives -- Panel Data Analysis and Bootstrapping: Application to China Mutual Funds -- Market Segmentation and Pricing of Closed-end Country Funds: An Empirical Analysis -- A Comparison of Portfolios using Different Risk Measurements -- Using Alternative Models and a Combining Technique in Credit Rating Forecasting: An Empirical Study -- Can We Use the CAPM as an Investment Strategy?: An Intuitive CAPM and Efficiency Test -- Group Decision Making Tools for Managerial Accounting and Finance Applications -- Statistics Methods Applied in Employee Stock Options -- Structural Change and Monitoring Tests -- Consequences of Option Pricing of a Long Memory in Volatility -- Seasonal aspects of Australian electricity market -- Pricing Commercial Timberland Returns in the United States -- Optimal Orthogonal Portfolios with Conditioning Information -- Multi Factor, Multi Indicator Approach to Asset Pricing: Method and Empirical Evidence -- Binomial OPM, Black-Scholes OPM and Their Relationship: Decision Tree and Microsoft Excel Approach -- Dividend Payments and Share Repurchases of U.S. Firms: An Econometric Approach -- Term Structure Modeling and Forecasting Using the Nelson-Siegel Model -- The intertemporal relation between expected return and risk on currency -- Quantile Regression and Value-at-Risk -- Earnings Quality and Board Structure: Evidence from South East Asia -- Rationality and Heterogeneity of Survey Forecasts of the Yen-Dollar Exchange Rate: A Reexamination -- Stochastic Volatility Structures and Intra-Day Asset Price Dynamics -- Optimal Asset Allocation under VaR Criterion: Taiwan Stock Market -- Applications of Switching Model in Finance and Accounting -- Matched Sample Comparison Group Analysis -- A Quasi-Maximum Likelihood Estimation Strategy for Value-at-Risk Forecasting: Application to Equity Index Futures Markets -- Computer Technology for Financial Service -- Long-Run Stock Return and the Statistical Inference -- Value-at-Risk Estimation via a Semi-Parametric Approach: Evidence from the Stock Markets -- Modeling Multiple Asset Returns by a Time-Varying t Copula Model -- Internet Bubble Examination with Mean-Variance Ratio -- Quantile Regression in Risk Calibration -- Strike Prices of Options for Overconfident Executives -- Density and Conditional Distribution Based Specification Analysis -- Assessing the Performance of Estimators Dealing with Measurement Errors -- Realized Distributions of Dynamic Conditional Correlation and Volatility Thresholds in the Crude Oil, Gold and Dollar/Pound Currency Markets -- Pre-IT Policy, Post-IT Policy, and the Real Sphere in Turkey -- Determination of Capital Structure: A LISREL Model Approach -- Evaluating the Effectiveness of Futures Hedging -- Evidence on Earning Management by Integrated Oil and Gas Companies -- A Comparative Study of Two Models SV with MCMC Algorithm -- Internal Control Material Weakness, Analysts Accuracy and Bias, and Brokerage Reputation -- What Increases Banks Vulnerability to Financial Crisis: Short-Term Financing or Illiquid Assets?- Accurate Formulae for Evaluating Barrier Options with Dividends Payout and the Application in Credit Risk Valuation -- Pension Funds: Financial Econometrics on the Herding Phenomenon in Spain and the United Kingdom -- Estimating the Correlation of Asset Returns: A Quantile Dependence Perspective -- Multi-Criteria Decision Making for Evaluating Mutual Funds Investment Strategies -- Econometric Analysis of Currency Carry Trade -- Analytical Bounds for Treasury Bond Futures prices -- Rating Dynamics of Fallen Angels and their Speculative Grade-Rated Peers: Static vs. Dynamic Approach -- Creation and Control of Bubbles: Managers Compensation Schemes, Risk Aversion, and Wealth and Short Sale Constraints -- Range Volatility: A Review of Models and Empirical Studies -- Business Models: Applications to Capital Budgeting, Equity Value, and Return Attribution -- VAR Models: Estimation, Inferences, and Applications -- Model Selection for High-Dimensional Problems -- Hedonic Regression Models -- Optimal Payout Ratio under Uncertainty and the Flexibility Hypothesis: Theory and Empirical Evidence -- Modeling Asset Returns with Skewness, Kurtosis, and Outliers -- Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers: Combined Estimator Approach -- A VG-NGARCH Model for Impacts of Extreme Events on Stock Returns -- Risk-Averse Portfolio Optimization via Stochastic Dominance Constraints -- Implementation Problems and Solutions in Stochastic Volatility Models of the Heston Type -- Stochastic Change-Point Models of Asset Returns and Their Volatilities -- Unspanned Stochastic Volatilities and Interest Rate Derivatives Pricing -- Alternative Equity Valuation Models -- Time Series Models to Predict the Net Asset Value (NAV) of an Asset Allocation Mutual Fund VWELX -- Discriminant Analysis and Factor Analysis: Theory And Method -- Implied Volatility: Theory and Empirical Method -- Measuring Credit Risk in a Factor Copula Model -- Instantaneous Volatility Estimation by Nonparametric Fourier Transform Methods -- A Dynamic CAPM with Supply Effect Theory and Empirical Results -- A Generalized Model for Optimum Futures Hedge Ratio -- Instrument Variable Approach to Correct for Endogeneity in Finance -- Application of Poisson Mixtures in the Estimation of Probability of Informed Trading -- CEO Stock Options and Analysts Forecast Accuracy and Bias -- Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Rates -- THE LE CHÂTELIER PRINCIPLE OF THE CAPITAL MARKET EQUILIBRIUM -- Econometric Measures of Liquidity En línea: http://dx.doi.org/10.1007/978-1-4614-7750-1 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=35367 Ejemplares
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Título : Mathematics for Econometrics Tipo de documento: documento electrónico Autores: Phoebus J. Dhrymes ; SpringerLink (Online service) Editorial: New York, NY : Springer New York Fecha de publicación: 2013 Otro editor: Imprint: Springer Número de páginas: XVII, 419 p. 1 illus Il.: online resource ISBN/ISSN/DL: 978-1-4614-8145-4 Idioma : Inglés (eng) Palabras clave: Statistics Game theory Econometrics for Business/Economics/Mathematical Finance/Insurance Theory, Economics, Social and Behav. Sciences Clasificación: 51 Matemáticas Resumen: The fourth edition of this book continues to deal with a number of mathematical topics that are of great importance in the study of classical econometrics. The major expansion involves a more complete coverage of basic aspects of mathematics that continue to play an increasingly significant role in the literature of econometrics. Thus, the chapter on difference equations has been expanded to include enhanced treatment of lag operators (backward shift operators in the statistical literature) that are important not only in the context of the dynamic simultaneous equation GLSEM (general linear structural econometric model), but also time series analysis. New features in this edition include chapters on probability theory and the probabilistic basis of classical econometrics. There is a lengthy chapter on matrix algebra, which takes the reader from the most elementary aspects to the partitioned inverses, characteristic roots and vectors, symmetric, and orthogonal and positive (semi) definite matrices. The book also covers pseudo-inverses, solutions to systems of linear equations, solutions of vector difference equations with constant coefficients and random forcing functions, matrix differentiation, and permutation matrices. Its novel features include an introduction to asymptotic expansions, and examples of applications to the general-linear model (regression) and the general linear structural econometric model (simultaneous equations). Also unique to this edition are two fairly extensive chapters on applications to the GLM (general linear model), GLSEM and time series analysis which treat issues relevant to their underlying theoretical bases, estimation and forecasting. Professor Dhrymes is currently Professor of Economics at Columbia University. Earlier he taught at Harvard, University of Pennsylvania, University of California at Los Angeles, and Monash University in Australia. He is a fellow of the Econometric Society and the American Statistical Association. He has been a managing editor and editor of the International Economic Review, and one of the founding editors of the Journal of Econometrics. Professor Dhrymes serves on the Editorial Advisory Boards of the Journal of Econometrics and Econometric Theory Nota de contenido: Preface -- Chapters -- Bibliography -- References En línea: http://dx.doi.org/10.1007/978-1-4614-8145-4 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32379 Mathematics for Econometrics [documento electrónico] / Phoebus J. Dhrymes ; SpringerLink (Online service) . - New York, NY : Springer New York : Imprint: Springer, 2013 . - XVII, 419 p. 1 illus : online resource.
ISBN : 978-1-4614-8145-4
Idioma : Inglés (eng)
Palabras clave: Statistics Game theory Econometrics for Business/Economics/Mathematical Finance/Insurance Theory, Economics, Social and Behav. Sciences Clasificación: 51 Matemáticas Resumen: The fourth edition of this book continues to deal with a number of mathematical topics that are of great importance in the study of classical econometrics. The major expansion involves a more complete coverage of basic aspects of mathematics that continue to play an increasingly significant role in the literature of econometrics. Thus, the chapter on difference equations has been expanded to include enhanced treatment of lag operators (backward shift operators in the statistical literature) that are important not only in the context of the dynamic simultaneous equation GLSEM (general linear structural econometric model), but also time series analysis. New features in this edition include chapters on probability theory and the probabilistic basis of classical econometrics. There is a lengthy chapter on matrix algebra, which takes the reader from the most elementary aspects to the partitioned inverses, characteristic roots and vectors, symmetric, and orthogonal and positive (semi) definite matrices. The book also covers pseudo-inverses, solutions to systems of linear equations, solutions of vector difference equations with constant coefficients and random forcing functions, matrix differentiation, and permutation matrices. Its novel features include an introduction to asymptotic expansions, and examples of applications to the general-linear model (regression) and the general linear structural econometric model (simultaneous equations). Also unique to this edition are two fairly extensive chapters on applications to the GLM (general linear model), GLSEM and time series analysis which treat issues relevant to their underlying theoretical bases, estimation and forecasting. Professor Dhrymes is currently Professor of Economics at Columbia University. Earlier he taught at Harvard, University of Pennsylvania, University of California at Los Angeles, and Monash University in Australia. He is a fellow of the Econometric Society and the American Statistical Association. He has been a managing editor and editor of the International Economic Review, and one of the founding editors of the Journal of Econometrics. Professor Dhrymes serves on the Editorial Advisory Boards of the Journal of Econometrics and Econometric Theory Nota de contenido: Preface -- Chapters -- Bibliography -- References En línea: http://dx.doi.org/10.1007/978-1-4614-8145-4 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32379 Ejemplares
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Título : Micro-Econometrics : Methods of Moments and Limited Dependent Variables Tipo de documento: documento electrónico Autores: Myoung-jae Lee ; SpringerLink (Online service) Editorial: New York, NY : Springer New York Fecha de publicación: 2010 Número de páginas: XXVII, 770 p Il.: online resource ISBN/ISSN/DL: 978-0-387-68841-1 Idioma : Inglés (eng) Palabras clave: Statistics Marketing Biostatistics Econometrics Psychometrics for Business/Economics/Mathematical Finance/Insurance Environmental Monitoring/Analysis Clasificación: 51 Matemáticas Resumen: This book introduces econometrics at the graduate level, and then specializes in micro-econometrics topics such as method of moments, limited and qualitative dependent variables, sample-selection models, panel data, nonparametric estimators and specification tests, and semi(non)-parametric methods. The coverage is up-to-date and broad as well as in depth. Many empirical examples are included along with a computer program appendix. Both graduate students and researchers, applied or theoretical, in all disciplines using observational data will find this book useful as a textbook as well as a research monograph for self-study and reference. The second edition is three times length of the first edition One chapter on liner equation systems has been added and several new sections on panel data are new. Also sections for the following topics have been added: LDV's with endogenous regressors, competing risks, nonparametric survival and hazard function estimation, rank-based semiparametric methods, differencing-based semiparametric methods, semiparametric estimators for duration models, integrated moment specification tests, nonparametric control function approaches, nonparametric additive models, various transformation of response variables, and nonparametric specification and significance tests. The appendix now contains the proofs for some important results in the main text and new sections for the following topics: review of mathematical and statistical backgrounds, nested logit, U-statistics, GMM with integrated squared moments, goodness-of-fit tests for distribution functions, joint test for all quantiles, review on test, non-nested model test, stratified sampling and weighted M-estimator, empirical likelihood estimator, stochastic-process convergence and applications, and bootstrap. The author, Myoung-jae Lee, is currently a Professor of Economics at Korea University, and has written Panel Data Econometrics: Methods-of-Moments and Limited Dependent Variables (2002, Academic Press) and Micro-Econometrics for Policy, Program, and Treatment Effects (2005, Oxford University Press), which complement the current book in covering micro-econometrics as a whole. The author published extensively across the broad spectrum of micro-econometrics, writing more than 40 academic papers in international journals including top econometrics and statistics journals Nota de contenido: Methods of Moments for Single Linear Equation Models -- Methods of Moments for Multiple Linear Equation Systems -- M-Estimator And Maximum Likelihood Estimator (MLE) -- Nonlinear Models and Estimators -- Parametric Methods for Single Equation LDV Models -- Parametric Methods for Multiple Equation LDV Models -- Kernel Nonparametric Estimation -- Bandwidth-Free Semiparametric Methods -- Bandwidth-Dependent Semiparametric Methods En línea: http://dx.doi.org/10.1007/b60971 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33500 Micro-Econometrics : Methods of Moments and Limited Dependent Variables [documento electrónico] / Myoung-jae Lee ; SpringerLink (Online service) . - New York, NY : Springer New York, 2010 . - XXVII, 770 p : online resource.
ISBN : 978-0-387-68841-1
Idioma : Inglés (eng)
Palabras clave: Statistics Marketing Biostatistics Econometrics Psychometrics for Business/Economics/Mathematical Finance/Insurance Environmental Monitoring/Analysis Clasificación: 51 Matemáticas Resumen: This book introduces econometrics at the graduate level, and then specializes in micro-econometrics topics such as method of moments, limited and qualitative dependent variables, sample-selection models, panel data, nonparametric estimators and specification tests, and semi(non)-parametric methods. The coverage is up-to-date and broad as well as in depth. Many empirical examples are included along with a computer program appendix. Both graduate students and researchers, applied or theoretical, in all disciplines using observational data will find this book useful as a textbook as well as a research monograph for self-study and reference. The second edition is three times length of the first edition One chapter on liner equation systems has been added and several new sections on panel data are new. Also sections for the following topics have been added: LDV's with endogenous regressors, competing risks, nonparametric survival and hazard function estimation, rank-based semiparametric methods, differencing-based semiparametric methods, semiparametric estimators for duration models, integrated moment specification tests, nonparametric control function approaches, nonparametric additive models, various transformation of response variables, and nonparametric specification and significance tests. The appendix now contains the proofs for some important results in the main text and new sections for the following topics: review of mathematical and statistical backgrounds, nested logit, U-statistics, GMM with integrated squared moments, goodness-of-fit tests for distribution functions, joint test for all quantiles, review on test, non-nested model test, stratified sampling and weighted M-estimator, empirical likelihood estimator, stochastic-process convergence and applications, and bootstrap. The author, Myoung-jae Lee, is currently a Professor of Economics at Korea University, and has written Panel Data Econometrics: Methods-of-Moments and Limited Dependent Variables (2002, Academic Press) and Micro-Econometrics for Policy, Program, and Treatment Effects (2005, Oxford University Press), which complement the current book in covering micro-econometrics as a whole. The author published extensively across the broad spectrum of micro-econometrics, writing more than 40 academic papers in international journals including top econometrics and statistics journals Nota de contenido: Methods of Moments for Single Linear Equation Models -- Methods of Moments for Multiple Linear Equation Systems -- M-Estimator And Maximum Likelihood Estimator (MLE) -- Nonlinear Models and Estimators -- Parametric Methods for Single Equation LDV Models -- Parametric Methods for Multiple Equation LDV Models -- Kernel Nonparametric Estimation -- Bandwidth-Free Semiparametric Methods -- Bandwidth-Dependent Semiparametric Methods En línea: http://dx.doi.org/10.1007/b60971 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33500 Ejemplares
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