A Course on Statistics for Finance
Taking a data-driven approach, A Course on Statistics for Finance presents statistical methods for financial investment analysis. The author introduces regression analysis, time series analysis, and multivariate analysis step by step using models and methods from finance. The book begins with a revi...
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Boca Raton, FL :
Taylor and Francis, an imprint of Chapman and Hall/CRC
[2018].
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| Edición: | 1st edition |
| Colección: | A Chapman & Hall Book
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009628115006719 |
Tabla de Contenidos:
- INTRODUCTORY CONCEPTS AND DEFINITIONS Review of Basic Statistics What Is Statistics?Characterizing DataMeasures of Central TendencyMeasures of VariabilityHigher Moments Summarizing DistributionsBivariate DataThree VariablesTwo-Way Tables
- Stock Price Series and Rates of Return IntroductionSharpe RatioValue-at-RiskDistributions for RORs
- Several Stocks and Their Rates of Return Introduction Review of Covariance and Correlation Two StocksThree Stocksm Stocks
- REGRESSION Simple Linear Regression; CAPM and Beta Introduction Simple Linear RegressionEstimationInference Concerning the Slope Testing Equality of Slopes of Two Lines through the Origin Linear Parametric Functions Variances Dependent upon X A Financial Application: CAPM and "Beta"Slope and Intercept
- Multiple Regression and Market Models Multiple Regression Models Market Models Models with Both Numerical and Dummy Explanatory VariablesModel Building
- PORTFOLIO ANALYSIS Mean-Variance Portfolio Analysis Introduction Two StocksThree Stocks m Stocks m Stocks and a Risk-Free Asset Value-at-RiskSelling Short Market Models and Beta
- Utility-Based Portfolio AnalysisIntroduction Single-Criterion Analysis
- TIME SERIES ANALYSIS Introduction to Time Series Analysis Introduction Control Charts Moving AveragesNeed for Modeling Trend, Seasonality, and Randomness Models with Lagged VariablesMoving-Average ModelsIdentification of ARIMA ModelsSeasonal Data Dynamic Regression Models Simultaneous Equations Models
- Regime Switching Models Introduction Bull and Bear Markets
- Appendix A: Vectors and MatricesAppendix B: Normal DistributionsAppendix C: Lagrange MultipliersAppendix D: Abbreviations and Symbols
- Index
- A Summary, Exercises, and Bibliography appear at the end of each chapter.
