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Financial valuation and econometrics

Author: Kian Guan Lim
Publisher: New Jersey : World Scientific, [2015]
Edition/Format:   Print book : English : Second editionView all editions and formats
Summary:

This book is an introduction to financial valuation and financial data analyses using econometric methods. It is intended for advanced finance undergraduates and graduates. Most chapters in the book  Read more...

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Document Type: Book
All Authors / Contributors: Kian Guan Lim
ISBN: 9789814644006 9814644005 9789814667722 9814667722
OCLC Number: 902854258
Notes: Includes index.
Description: xvii, 585 pages ; 24 cm
Contents: Probability distribution and statistics --
Statistical laws and central limit theorem application : stock return distributions --
Two-variable linear regression application : financial hedging --
Model estimation application : capital asset pricing model --
Constrained regression application : cost of capital --
Time series analysis application : inflation forecasting --
Random walk application : market efficiency --
Autoregression and persistence application : predictability --
Estimation errors and t-tests application : event studies --
Multiple linear regression and stochastic regressors --
Dummy variables and anova application : time effect anomalies --
Specification errors --
Cross-sectional regression application : testing CAPM --
More multiple linear regressions application : multi-factor asset pricing --
Errors-in-variable application : exchange rates and risk premium --
Unit root processes application : purchasing power parity --
Conditional heteroskedasticity application : risk estimation --
Maximum likelihood and goodness of fit application : choice of copulas --
Mean reverting continuous time process application : bonds and term structures --
Implied parameters application : option pricing --
Generalised method of moments application : consumption-based asset pricing --
Multiple time series regression application : term structure of volatilities --
Fixed and random effects models application : synchronicity of stock returns --
Logit and probit regressions application : categorization and prediction.
Responsibility: Kian Guan Lim, Singapore Management University, Singapore.

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