Empirical Techniques in Finance

• Main Authors: Bhar, Ramaprasad (Author), Hamori, Shigeyuki (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2005.
• Series: Springer Finance
• Subjects: Finance.; Economics, Mathematical.; Economic theory.; Finance, general.; Quantitative Finance.; Economic Theory/Quantitative Economics/Mathematical Methods.

This book offers the opportunity to study and experience advanced empi- cal techniques in finance and in general financial economics. It is not only suitable for students with an interest in the field, it is also highly rec- mended for academic researchers as well as the researchers in the industry....

Table of Contents:

• Basic Probability Theory and Markov Chains
• Estimation Techniques
• Non-Parametric Method of Estimation
• Unit Root, Cointegration and Related Issues
• VAR Modeling
• Time Varying Volatility Models
• State-Space Models (I)
• State-Space Models (II)
• Discrete Time Real Asset Valuation Model
• Discrete Time Model of Interest Rate
• Global Bubbles in Stock Markets and Linkages
• Forward FX Market and the Risk Premium
• Equity Risk Premia from Derivative Prices.