Applied Econometrics: A Simple Introduction
K.H. Erickson
K.H. Erickson
4,0star
2 avaliaçõesreport
E-book
100
Páginas
family_home
Qualificado
info
reportAs notas e avaliações não são verificadas Saiba mais
Sobre este e-book
Applied Econometrics: A Simple Introduction offers a detailed guide to some of the central methods and applications of applied econometrics, with theory, models, calculations, and graphs to support analysis.
S&P 500 equities, GSCI commodities, and US Treasury Bill risk-free rate datasets are assessed for their data distributions, autocorrelation, and stationarity. The Engle-Granger 2 step method, Johansen test and the Vector Error Correction Model test for and correct cointegration.
ARMA models determine the optimal AR and MA processes to model returns data, and GARCH models assess the optimal p and q number of lags to model variance, using the Akaike Information Criterion. Alternative GARCH versions are examined.
Dynamic portfolio strategies are evaluated using Sharpe Ratio portfolio performance evaluation tools, with a focus on the 2007-8 global financial crisis period. Static portfolio strategies are assessed using ARMA return and GARCH variance forecasting. Results are used alongside established financial literature to assess the optimal portfolio strategy.
S&P 500 equities, GSCI commodities, and US Treasury Bill risk-free rate datasets are assessed for their data distributions, autocorrelation, and stationarity. The Engle-Granger 2 step method, Johansen test and the Vector Error Correction Model test for and correct cointegration.
ARMA models determine the optimal AR and MA processes to model returns data, and GARCH models assess the optimal p and q number of lags to model variance, using the Akaike Information Criterion. Alternative GARCH versions are examined.
Dynamic portfolio strategies are evaluated using Sharpe Ratio portfolio performance evaluation tools, with a focus on the 2007-8 global financial crisis period. Static portfolio strategies are assessed using ARMA return and GARCH variance forecasting. Results are used alongside established financial literature to assess the optimal portfolio strategy.
Classificações e resenhas
4,0
2 avaliações
Avaliar este e-book
Diga o que você achou
Informações de leitura
Smartphones e tablets
Instale o app Google Play Livros para Android e iPad/iPhone. Ele sincroniza automaticamente com sua conta e permite ler on-line ou off-line, o que você preferir.
Laptops e computadores
Você pode ouvir audiolivros comprados no Google Play usando o navegador da Web do seu computador.
eReaders e outros dispositivos
Para ler em dispositivos de e-ink como os e-readers Kobo, é necessário fazer o download e transferir um arquivo para o aparelho. Siga as instruções detalhadas da Central de Ajuda se quiser transferir arquivos para os e-readers compatíveis.
