Financial Econometrics, Mathematics and Statistics Theory, Method an
This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics illustrates tools and method
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cial Econometrics, Mathematics and Statistics Theory, Method and Application
Financial Econometrics, Mathematics and Statistics
Cheng-Few Lee Hong-Yi Chen John Lee •
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Financial Econometrics, Mathematics and Statistics Theory, Method and Application
123
Cheng-Few Lee Department of Finance and Economics Rutgers Business School Rutgers University Piscataway, NJ, USA
Hong-Yi Chen Department of Finance National Chengchi University Taipei, Taiwan
John Lee Center for PBBEF Research Morris Plains, NJ, USA
ISBN 978-1-4939-9427-4 ISBN 978-1-4939-9429-8 https://doi.org/10.1007/978-1-4939-9429-8
(eBook)
Library of Congress Control Number: 2019932616 © Springer Science+Business Media, LLC, part of Springer Nature 2019 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, expressed or implied, with respect to the material contained herein or for any errors or omissions that may have been made. The publisher remains neutral with regard to jurisdictional claims in published maps and institutional affiliations. This Springer imprint is published by the registered company Springer Science+Business Media, LLC part of Springer Nature. The registered company address is: 233 Spring Street, New York, NY 10013, U.S.A.
Preface
We draw upon our years of teaching, research, and practice on the subjects of financial econometrics, mathematics and statistics for this textbook. Overall, our goal is to provide an advanced level book that reviews, discusses, and integrates financial econometrics, mathematics and statistics. We focus on five principles to frame our presentation of this book: (1) To discuss the basic methodology of financial econometrics, mathematics and statistics, (2) To show how econometric methodologies can be used in finance and accounting-related research, which includes single equation, multiple regression, simultaneous regression, panel data analysis, time-series analysis, spectral analysis, nonparametric analysis, semiparametric analysis, GMM analysis, and other methods, (3) To show how financial mathematics such as Itô’s calculus is important to derive the intertemporal capital asset pricing model and
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