  Sollis, Robert Empirical Finance for Finance and Banking
1. Edition January 2012 51.90 Euro 2012. 356 Pages, Softcover ISBN 9780470512890  John Wiley & Sons

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 Detailed description Empirical Finance for Finance and Banking provides the student with a relatively nontechnical 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 "easytoread" 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  DataSnooping  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 DeltaNormal 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


 