Applied Econometrics: A Simple Introduction - Couverture souple

Erickson, K. H.

Couverture souple

ISBN 10 : 1515065383 ISBN 13 : 9781515065388

Editeur : CreateSpace Independent Publishing Platform, 2015

Synopsis

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.

A propos du livre

Présentation de l'éditeur

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.

Détails de l'édition

• Éditeur: CreateSpace Independent Publishing Platform
• Date d'édition: 2015
• Langue: anglais
• ISBN 10: 1515065383
• ISBN 13: 9781515065388
• Reliure: Broché
• Nombre de pages: 100
• Coordonnées du fabricant: Printed by Amazon on behalf of the author; https://www.amazon.fr/hz/contact-us; ; c/o Amazon Media EU S.à.r.l., 38 Avenue John F. Kennedy; Luxembourg; L-1855; Luxembourg