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Sollis, Robert
Empirical Finance for Finance and Banking

1. Edition January 2012
51.90 Euro
2012. 356 Pages, Softcover
ISBN 978-0-470-51289-0 - John Wiley & Sons



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Detailed description
Empirical Finance for Finance and Banking provides the student with a relatively non-technical guide to some of the key topics in finance where empirical methods play an important role Written for students taking Master's degrees in finance and banking, it is also suitable for students and researchers in other areas, including economics.

The first three introductory chapters outline the structure of the book and review econometric and statistical techniques, while the remaining chapters discuss various topics, including: portfolio theory and asset allocation, asset pricing and factor models, market efficiency, modelling and forecasting exchange and interest rates and Value at Risk. Understanding these topics and the methods covered will be helpful for students interested in working as analysts and researchers in financial institutions.

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

From the contents
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

 




 

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