John Wiley & Sons Empirical Finance for Finance and Banking Cover Empirical Finance for Finance and Banking provides thestudent with a relatively non-technical guide .. Product #: 978-0-470-51289-0 Regular price: $57.85 $57.85 In Stock

Empirical Finance for Finance and Banking

Sollis, Robert

Cover

1. Edition January 2012
356 Pages, Softcover
Wiley & Sons Ltd

ISBN: 978-0-470-51289-0
John Wiley & Sons

Buy now

Price: 61,90 €

Price incl. VAT, excl. Shipping

Empirical Finance for Finance and Banking provides thestudent with a relatively non-technical guide to some of the keytopics in finance where empirical methods play an importantrole Written for students taking Master's degrees infinance and banking, it is also suitable for students andresearchers in other areas, including economics.

The first three introductory chapters outline the structure of thebook and review econometric and statistical techniques, while theremaining chapters discuss various topics, including: portfoliotheory and asset allocation, asset pricing and factor models,market efficiency, modelling and forecasting exchange and interestrates and Value at Risk. Understanding these topics and the methodscovered will be helpful for students interested in working asanalysts and researchers in financial institutions.

Designed for students with limited previous experience ofeconometrics, statistics or advanced financial theory, the text iswritten in an "easy-to-read" style. It featuresempirical examples at the end of each chapter to demonstrate theempirical methods and theory discussed and uses MATLAB® forall calculations. A guide to answering end of chapter questions andrelevant computer programs can be found on the companion website:www.wiley.com/college/sollis

CONTENTS:

Chapter 1: Introduction
- Subject Matter and Structure
- Computer Software
- Data
- References

Chapter 2: Random Variables and Random Processes
- Introduction
- Random Variables and Random Processes
- Time Series Models
- Summary
- End of Chapter Questions
- References

Chapter 3: Regression and Volatility
- Introduction
- Regression Models
- Modelling and Forecasting Conditional Volatility
- Summary
- End of Chapter Questions
- References

Chapter 4: Portfolio Theory and Asset Allocation
- Introduction
- Returns
- Dividend Discount Model
- Modern Portfolio Theory
- Empirical Examples
- Summary
- End of Chapter Questions
- References

Chapter 5: Asset Pricing Models and Factor Models
- Introduction
- CAPM
- Factor Models
- Empirical Examples
- Summary
- End of Chapter Questions
- Appendix
- References

Chapter 6: Market Efficiency
- Introduction
- Market Efficiency Tests
- Econometric Forecasting
- Technical Analysis
- Data-Snooping
- Empirical Examples
- Summary
- End of Chapter Questions
- Appendix
- References

Chapter 7: Modelling and Forecasting Exchange Rates
- Introduction
- Exchange Rates
- Market Efficiency and Exchange Rate Parity Conditions
- Market Efficiency Tests
- Purchasing Power Parity
- Forecasting Exchange Rates
- Empirical Examples
- Summary
- End of Chapter Questions
- Appendix
- References

Chapter 8: Modelling and Forecasting Interest Rates
- Introduction
- Bonds
- Interest Rate Models
- Empirically Testing the Expectations Hypothesis
- Empirical Examples
- Summary
- End of Chapter Questions
- Appendix
- References

Chapter 9: Market Risk Management
- Introduction
- VaR by the Delta-Normal Approach
- VaR by Historical Simulation
- VaR by Monte Carlo Simulation
- VaR for Bonds
- VaR for Derivatives
- Backtesting
- Financial Regulation and VaR
- Empirical Examples
- Summary
- End of Chapter Questions
- Appendix
- References

Appendix: Statistical Tables