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Author : Robert E. McCulloch
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (287 download)
Download or read book A Bayesian Approach to Testing the Arbitrage Pricing Theory written by Robert E. McCulloch and published by . This book was released on 1989 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert Edward McCulloch
Publisher :
ISBN 13 :
Total Pages : 86 pages
Book Rating : 4.E/5 ( download)
Download or read book Testing the Arbitrage Pricing Theory written by Robert Edward McCulloch and published by . This book was released on 1988 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Geweke
Publisher :
ISBN 13 :
Total Pages : 82 pages
Book Rating : 4.3/5 ( download)
Download or read book Measuring the Pricing Error of the Arbitrage Pricing Theory written by John Geweke and published by . This book was released on 1995 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Geweke
Publisher : Oxford University Press
ISBN 13 : 0191618268
Total Pages : 576 pages
Book Rating : 4.1/5 (916 download)
Download or read book The Oxford Handbook of Bayesian Econometrics written by John Geweke and published by Oxford University Press. This book was released on 2011-09-29 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian econometric methods have enjoyed an increase in popularity in recent years. Econometricians, empirical economists, and policymakers are increasingly making use of Bayesian methods. This handbook is a single source for researchers and policymakers wanting to learn about Bayesian methods in specialized fields, and for graduate students seeking to make the final step from textbook learning to the research frontier. It contains contributions by leading Bayesians on the latest developments in their specific fields of expertise. The volume provides broad coverage of the application of Bayesian econometrics in the major fields of economics and related disciplines, including macroeconomics, microeconomics, finance, and marketing. It reviews the state of the art in Bayesian econometric methodology, with chapters on posterior simulation and Markov chain Monte Carlo methods, Bayesian nonparametric techniques, and the specialized tools used by Bayesian time series econometricians such as state space models and particle filtering. It also includes chapters on Bayesian principles and methodology.
Author : Jianping Mei
Publisher : World Scientific
ISBN 13 : 9814501808
Total Pages : 132 pages
Book Rating : 4.8/5 (145 download)
Download or read book New Methods For The Arbitrage Pricing Theory And The Present Value Model written by Jianping Mei and published by World Scientific. This book was released on 1994-10-24 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of two essays on new approaches for the Arbitrage Pricing Theory and the Present Value Model, and one essay on cross-sectional correlations in panel data. The new approaches are designed to study a large number of securities over time. They can be employed by security analysts to discover market anomalies without assuming observable factors or constant risk premium. The book shows how these two approaches can be used to determine how many systematic factors affect the U.S. stock market.
Author : Constantine Gatsonis
Publisher : Springer Science & Business Media
ISBN 13 : 1461222907
Total Pages : 483 pages
Book Rating : 4.4/5 (612 download)
Download or read book Case Studies in Bayesian Statistics written by Constantine Gatsonis and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 483 pages. Available in PDF, EPUB and Kindle. Book excerpt: This third volume of case studies presents detailed applications of Bayesian statistical analysis, emphasising the scientific context. The papers were presented and discussed at a workshop held at Carnegie-Mellon University, and this volume - dedicated to the memory of Morrie Groot-reproduces six invited papers, each with accompanying invited discussion, and nine contributed papers with the focus on econometric applications.
Author : R.A. Jarrow
Publisher : Elsevier
ISBN 13 : 9780444890849
Total Pages : 1204 pages
Book Rating : 4.8/5 (98 download)
Download or read book Finance written by R.A. Jarrow and published by Elsevier. This book was released on 1995-12-15 with total page 1204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hardbound. The Handbook of Finance is a primary reference work for financial economics and financial modeling students, faculty and practitioners. The expository treatments are suitable for masters and PhD students, with discussions leading from first principles to current research, with reference to important research works in the area. The Handbook is intended to be a synopsis of the current state of various aspects of the theory of financial economics and its application to important financial problems. The coverage consists of thirty-three chapters written by leading experts in the field. The contributions are in two broad categories: capital markets and corporate finance.
Author : Kok Phun Yap
Publisher :
ISBN 13 :
Total Pages : 206 pages
Book Rating : 4.:/5 (969 download)
Download or read book A Bayesian Approach to the Estimation of the Capital Asset Pricing Model written by Kok Phun Yap and published by . This book was released on 1993 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : J. M. Bernardo
Publisher : Oxford University Press
ISBN 13 : 9780198504856
Total Pages : 886 pages
Book Rating : 4.5/5 (48 download)
Download or read book Bayesian Statistics 6 written by J. M. Bernardo and published by Oxford University Press. This book was released on 1999-08-12 with total page 886 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian statistics is a dynamic and fast-growing area of statistical research and the Valencia International Meetings provide the main forum for discussion. These resulting proceedings form an up-to-date collection of research.
Author : John Geweke
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Measuring the Pricing Error of the Arbitrage Pricing Theory written by John Geweke and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an exact Bayesian framework for analyzing the arbitrage pricing theory (APT). Based on the Gibbs sampler, we show how to obtain the exact posterior distributions for functions of interest in the factor model. In particular, we propose a measure of the APT pricing deviations and obtain its exact posterior distribution. Using monthly portfolio returns grouped by industry and market capitalization, we find that there is little improvement in reducing the pricing errors by including more factors beyond the first one.
Author : Svetlozar T. Rachev
Publisher : John Wiley & Sons
ISBN 13 : 0470249242
Total Pages : 351 pages
Book Rating : 4.4/5 (72 download)
Download or read book Bayesian Methods in Finance written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2008-02-13 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian Methods in Finance provides a detailed overview of the theory of Bayesian methods and explains their real-world applications to financial modeling. While the principles and concepts explained throughout the book can be used in financial modeling and decision making in general, the authors focus on portfolio management and market risk management—since these are the areas in finance where Bayesian methods have had the greatest penetration to date.
Author : Robert Edward McCulloch
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (419 download)
Download or read book Posterior, Predictive, and Utility-based Approaches to Testing the Arbitrage Pricing Theory written by Robert Edward McCulloch and published by . This book was released on 1989 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Cheng-Few Lee
Publisher : Springer
ISBN 13 : 1493994298
Total Pages : 657 pages
Book Rating : 4.4/5 (939 download)
Download or read book Financial Econometrics, Mathematics and Statistics written by Cheng-Few Lee and published by Springer. This book was released on 2019-06-03 with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 introduces tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting financial accounting research. Divided into four parts, the text begins with topics related to regression and financial econometrics. Subsequent sections describe time-series analyses; the role of binomial, multi-nomial, and log normal distributions in option pricing models; and the application of statistics analyses to risk management. The real-world applications and problems offer students a unique insight into such topics as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments. Written by leading academics in the quantitative finance field, allows readers to implement the principles behind financial econometrics and statistics through real-world applications and problem sets. This textbook will appeal to a less-served market of upper-undergraduate and graduate students in finance, economics, and statistics.
Author : José M. Bernardo
Publisher : Oxford University Press
ISBN 13 : 0199694583
Total Pages : 717 pages
Book Rating : 4.1/5 (996 download)
Download or read book Bayesian Statistics 9 written by José M. Bernardo and published by Oxford University Press. This book was released on 2011-10-06 with total page 717 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian statistics is a dynamic and fast-growing area of statistical research and the Valencia International Meetings provide the main forum for discussion. These resulting proceedings form an up-to-date collection of research.
Author : Gregory Connor
Publisher : Princeton University Press
ISBN 13 : 1400835291
Total Pages : 400 pages
Book Rating : 4.4/5 (8 download)
Download or read book Portfolio Risk Analysis written by Gregory Connor and published by Princeton University Press. This book was released on 2010-03-15 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.
Author :
Publisher :
ISBN 13 :
Total Pages : 684 pages
Book Rating : 4.4/5 (5 download)
Download or read book Journal of Financial Economics written by and published by . This book was released on 1991 with total page 684 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David Hillier
Publisher : McGraw Hill
ISBN 13 : 0077141350
Total Pages : 881 pages
Book Rating : 4.0/5 (771 download)
Download or read book Financial Markets and Corporate Strategy European Edition 2e written by David Hillier and published by McGraw Hill. This book was released on 2011-01-16 with total page 881 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second European edition of Financial Markets and Corporate Strategy provides comprehensive coverage of financial markets and corporate finance, brought to life by real world examples, cases and insights. Placed in a truly international context, this new and updated edition takes an academic and practical view-point to guide students through the challenges of studying and practicing finance. Aimed specifically at an international audience, this edition boasts hundreds of references to new and relevant non-US research papers from top finance journals. Whilst retaining the well respected structure of the successful US text, Professor David Hillier has also made a number of additions which include: Fully updated research, data and examples in every chapter. Coverage of the global financial crisis, the impact it made on the financial markets and the lessons being learnt by the finance industry. A stronger emphasis on corporate governance and agency theory. Updates on accounting standards, bankruptcy laws, tax rules and tax systems.
