{"product_id":"empirical-finance-for-finance-and-banking-paperback-softback-9780470512890","title":"Empirical Finance for Finance and Banking (Paperback \/ softback) 9780470512890","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eEmpirical Finance for Finance and Banking\u003c\/font\u003e\u003cbr\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003c\/p\u003e\n\u003cp\u003e\u003cfont size=\"4\"\u003eRobert Sollis (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9780470512890, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003ePaperback \/ softback, published 6 January 2012\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e358 pages\u003cbr\u003e23.1 x 18.5 x 2 cm, 0.68 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003e\u003ci\u003eEmpirical Finance for Finance and Banking\u003c\/i\u003e provides the student with a relatively non-technical guide to some of the key topics in finance where empirical methods play an important role  Written for students taking Master’s degrees in finance and banking, it is also suitable for students and researchers in other areas, including economics.\u003cbr\u003e \u003cbr\u003e The first three introductory chapters outline the structure of the book and review econometric and statistical techniques, while the remaining chapters discuss various topics, including: portfolio theory and asset allocation, asset pricing and factor models, market efficiency, modelling and forecasting exchange and interest rates and Value at Risk. Understanding these topics and the methods covered will be helpful for students interested in working as analysts and researchers in financial institutions. \u003cbr\u003e \u003cbr\u003e   \u003cp\u003eDesigned for students with limited previous experience of econometrics, statistics or advanced financial theory, the text is written in an “easy-to-read” style.  It features empirical examples at the end of each chapter to demonstrate the empirical methods and theory discussed and uses MATLAB® for all calculations. A guide to answering end of chapter questions and relevant computer programs can be found on the companion website: \u003ca href=\"http:\/\/www.wiley.com\/college\/sollis\"\u003ewww.wiley.com\/college\/sollis\u003c\/a\u003e\u003c\/p\u003e\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e\u003cb\u003ePreface xii\u003c\/b\u003e  \u003cp\u003e\u003cb\u003eChapter 1 Introduction 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Subject Matter and Structure 1\u003c\/p\u003e \u003cp\u003e1.2 Computer Software 4\u003c\/p\u003e \u003cp\u003e1.3 Data 5\u003c\/p\u003e \u003cp\u003e1.4 References 6\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Random Variables and Random Processes 7\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Introduction 7\u003c\/p\u003e \u003cp\u003e2.2 Random Variables and Random Processes 8\u003c\/p\u003e \u003cp\u003e\u003ci\u003e2.2.1 Random Variables\u003c\/i\u003e 8\u003c\/p\u003e \u003cp\u003e\u003ci\u003e2.2.2 Random Processes\u003c\/i\u003e 15\u003c\/p\u003e \u003cp\u003e2.3 Time Series Models 18\u003c\/p\u003e \u003cp\u003e\u003ci\u003e2.3.1 Autoregressive (AR) and Moving Average (MA) Models\u003c\/i\u003e 18\u003c\/p\u003e \u003cp\u003e\u003ci\u003e2.3.2 Autoregressive Moving Average (ARMA) Models\u003c\/i\u003e 21\u003c\/p\u003e \u003cp\u003e\u003ci\u003e2.3.3 Non-stationary Time Series\u003c\/i\u003e 22\u003c\/p\u003e \u003cp\u003e\u003ci\u003e2.3.4 Autoregressive Integrated Moving Average (ARIMA) Models\u003c\/i\u003e 24\u003c\/p\u003e \u003cp\u003e\u003ci\u003e2.3.5 Parameter Estimation and Inference\u003c\/i\u003e 25\u003c\/p\u003e \u003cp\u003e\u003ci\u003e2.3.6 The Box–Jenkins Approach\u003c\/i\u003e 30\u003c\/p\u003e \u003cp\u003e\u003ci\u003e2.3.7 Vector Autoregressive (VAR) Models\u003c\/i\u003e 34\u003c\/p\u003e \u003cp\u003e\u003ci\u003e2.3.8 Forecasting with Time Series Models\u003c\/i\u003e 35\u003c\/p\u003e \u003cp\u003e\u003ci\u003e2.3.9 Evaluating Forecasts\u003c\/i\u003e 38\u003c\/p\u003e \u003cp\u003e\u003ci\u003e2.3.10 Non-linear Time Series Models\u003c\/i\u003e 42\u003c\/p\u003e \u003cp\u003e2.4 Summary 44\u003c\/p\u003e \u003cp\u003e2.5 End of Chapter Questions 44\u003c\/p\u003e \u003cp\u003e2.6 References 46\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Regression and Volatility 49\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Introduction 49\u003c\/p\u003e \u003cp\u003e3.2 Regression Models 50\u003c\/p\u003e \u003cp\u003e\u003ci\u003e3.2.1 Linear Regression\u003c\/i\u003e 50\u003c\/p\u003e \u003cp\u003e\u003ci\u003e3.2.2 Spurious Regression\u003c\/i\u003e 56\u003c\/p\u003e \u003cp\u003e\u003ci\u003e3.2.3 Unit Root Tests\u003c\/i\u003e 57\u003c\/p\u003e \u003cp\u003e\u003ci\u003e3.2.4 Cointegration\u003c\/i\u003e 59\u003c\/p\u003e \u003cp\u003e\u003ci\u003e3.2.5 Forecasting with Regression Models\u003c\/i\u003e 65\u003c\/p\u003e \u003cp\u003e3.3 Modelling and Forecasting Conditional Volatility 66\u003c\/p\u003e \u003cp\u003e\u003ci\u003e3.3.1 Univariate Conditional Volatility\u003c\/i\u003e 66\u003c\/p\u003e \u003cp\u003e\u003ci\u003e3.3.2 Conditional Covariance Matrices\u003c\/i\u003e 72\u003c\/p\u003e \u003cp\u003e3.4 Summary 75\u003c\/p\u003e \u003cp\u003e3.5 End of Chapter Questions 76\u003c\/p\u003e \u003cp\u003e3.6 References 77\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Portfolio Theory and Asset Allocation 80\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Introduction 80\u003c\/p\u003e \u003cp\u003e4.2 Returns 81\u003c\/p\u003e \u003cp\u003e4.3 Dividend Discount Model 88\u003c\/p\u003e \u003cp\u003e4.4 Modern Portfolio Theory 90\u003c\/p\u003e \u003cp\u003e\u003ci\u003e4.4.1 Basic Theory\u003c\/i\u003e 90\u003c\/p\u003e \u003cp\u003e\u003ci\u003e4.4.2 Generalisations\u003c\/i\u003e 97\u003c\/p\u003e \u003cp\u003e\u003ci\u003e4.4.3 Strengths and Weaknesses\u003c\/i\u003e 98\u003c\/p\u003e \u003cp\u003e4.5 Empirical Examples 100\u003c\/p\u003e \u003cp\u003e4.6 Summary 107\u003c\/p\u003e \u003cp\u003e4.7 End of Chapter Questions 109\u003c\/p\u003e \u003cp\u003e4.8 Appendix 110\u003c\/p\u003e \u003cp\u003e\u003ci\u003e4.8.1 Data\u003c\/i\u003e 110\u003c\/p\u003e \u003cp\u003e\u003ci\u003e4.8.2 MATLAB\u003c\/i\u003e® \u003ci\u003ePrograms and Toolboxes\u003c\/i\u003e 111\u003c\/p\u003e \u003cp\u003e4.9 References 112\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Asset Pricing Models and Factor Models 113\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Introduction 113\u003c\/p\u003e \u003cp\u003e5.2 CAPM 114\u003c\/p\u003e \u003cp\u003e\u003ci\u003e5.2.1 Main Results\u003c\/i\u003e 114\u003c\/p\u003e \u003cp\u003e\u003ci\u003e5.2.2 CAPM Applications\u003c\/i\u003e 117\u003c\/p\u003e \u003cp\u003e\u003ci\u003e5.2.3 Empirically Testing the CAPM\u003c\/i\u003e 118\u003c\/p\u003e \u003cp\u003e\u003ci\u003e5.2.4 Strengths and Weaknesses\u003c\/i\u003e 120\u003c\/p\u003e \u003cp\u003e5.3 Factor Models 122\u003c\/p\u003e \u003cp\u003e\u003ci\u003e5.3.1 Single-Index Model and APT Model\u003c\/i\u003e 122\u003c\/p\u003e \u003cp\u003e\u003ci\u003e5.3.2 Macroeconomic Factor Models\u003c\/i\u003e 124\u003c\/p\u003e \u003cp\u003e\u003ci\u003e5.3.3 Fama and French Models\u003c\/i\u003e 125\u003c\/p\u003e \u003cp\u003e\u003ci\u003e5.3.4 Covariance Matrix Estimation\u003c\/i\u003e 126\u003c\/p\u003e \u003cp\u003e\u003ci\u003e5.3.5 Strengths and Weaknesses\u003c\/i\u003e 128\u003c\/p\u003e \u003cp\u003e5.4 Empirical Examples 130\u003c\/p\u003e \u003cp\u003e5.5 Summary 136\u003c\/p\u003e \u003cp\u003e5.6 End of Chapter Questions 137\u003c\/p\u003e \u003cp\u003e5.7 Appendix 138\u003c\/p\u003e \u003cp\u003e\u003ci\u003e5.7.1 Data\u003c\/i\u003e 138\u003c\/p\u003e \u003cp\u003e\u003ci\u003e5.7.2 MATLAB\u003c\/i\u003e® \u003ci\u003ePrograms and Toolboxes\u003c\/i\u003e 139\u003c\/p\u003e \u003cp\u003e5.8 References 140\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Market Efficiency 143\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Introduction 143\u003c\/p\u003e \u003cp\u003e6.2 Market Efficiency Tests 145\u003c\/p\u003e \u003cp\u003e\u003ci\u003e6.2.1 The Efficient Market Hypothesis\u003c\/i\u003e 145\u003c\/p\u003e \u003cp\u003e\u003ci\u003e6.2.2 Random Walk Tests\u003c\/i\u003e 147\u003c\/p\u003e \u003cp\u003e\u003ci\u003e6.2.3 Other Tests\u003c\/i\u003e 149\u003c\/p\u003e \u003cp\u003e6.3 Econometric Forecasting 152\u003c\/p\u003e \u003cp\u003e6.4 Technical Analysis 154\u003c\/p\u003e \u003cp\u003e\u003ci\u003e6.4.1 Overview\u003c\/i\u003e 154\u003c\/p\u003e \u003cp\u003e\u003ci\u003e6.4.2 Testing the Profitability of Technical Trading Rules\u003c\/i\u003e 158\u003c\/p\u003e \u003cp\u003e6.5 Data-Snooping 160\u003c\/p\u003e \u003cp\u003e6.6 Empirical Examples 162\u003c\/p\u003e \u003cp\u003e6.7 Summary 174\u003c\/p\u003e \u003cp\u003e6.8 End of Chapter Questions 175\u003c\/p\u003e \u003cp\u003e6.9 Appendix 176\u003c\/p\u003e \u003cp\u003e\u003ci\u003e6.9.1 Data\u003c\/i\u003e 176\u003c\/p\u003e \u003cp\u003e\u003ci\u003e6.9.2 MATLAB\u003c\/i\u003e® \u003ci\u003ePrograms and Toolboxes\u003c\/i\u003e 177\u003c\/p\u003e \u003cp\u003e6.10 References 179\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Modelling and Forecasting Exchange Rates 183\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Introduction 183\u003c\/p\u003e \u003cp\u003e7.2 Exchange Rates 184\u003c\/p\u003e \u003cp\u003e7.3 Market Efficiency and Exchange Rate Parity Conditions 187\u003c\/p\u003e \u003cp\u003e\u003ci\u003e7.3.1 Uncovered Interest Rate Parity\u003c\/i\u003e 187\u003c\/p\u003e \u003cp\u003e\u003ci\u003e7.3.2 Covered Interest Rate Parity\u003c\/i\u003e 188\u003c\/p\u003e \u003cp\u003e\u003ci\u003e7.3.3 Forward Rate Unbiasedness\u003c\/i\u003e 189\u003c\/p\u003e \u003cp\u003e7.4 Market Efficiency Tests 189\u003c\/p\u003e \u003cp\u003e\u003ci\u003e7.4.1 Random Walk Tests\u003c\/i\u003e 189\u003c\/p\u003e \u003cp\u003e\u003ci\u003e7.4.2 Regression Model Tests\u003c\/i\u003e 191\u003c\/p\u003e \u003cp\u003e7.5 Purchasing Power Parity 193\u003c\/p\u003e \u003cp\u003e\u003ci\u003e7.5.1 The Law of One Price and the Purchasing Power Parity Hypothesis\u003c\/i\u003e 193\u003c\/p\u003e \u003cp\u003e\u003ci\u003e7.5.2 Testing the Purchasing Power Parity Hypothesis: Linear Tests\u003c\/i\u003e 194\u003c\/p\u003e \u003cp\u003e\u003ci\u003e7.5.3 Testing the Purchasing Power Parity Hypothesis: Non-linear Tests\u003c\/i\u003e 198\u003c\/p\u003e \u003cp\u003e7.6 Forecasting Exchange Rates 206\u003c\/p\u003e \u003cp\u003e\u003ci\u003e7.6.1 Econometric Models\u003c\/i\u003e 206\u003c\/p\u003e \u003cp\u003e\u003ci\u003e7.6.2 Technical Analysis\u003c\/i\u003e 210\u003c\/p\u003e \u003cp\u003e7.7 Empirical Examples 212\u003c\/p\u003e \u003cp\u003e7.8 Summary 220\u003c\/p\u003e \u003cp\u003e7.9 End of Chapter Questions 220\u003c\/p\u003e \u003cp\u003e7.10 Appendix 221\u003c\/p\u003e \u003cp\u003e\u003ci\u003e7.10.1 Data\u003c\/i\u003e 221\u003c\/p\u003e \u003cp\u003e\u003ci\u003e7.10.2 MATLAB\u003c\/i\u003e® \u003ci\u003ePrograms and Toolboxes\u003c\/i\u003e 224\u003c\/p\u003e \u003cp\u003e7.11 References 225\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Modelling and Forecasting Interest Rates 231\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Introduction 231\u003c\/p\u003e \u003cp\u003e8.2 Bonds 232\u003c\/p\u003e \u003cp\u003e\u003ci\u003e8.2.1 Yields and Prices\u003c\/i\u003e 232\u003c\/p\u003e \u003cp\u003e\u003ci\u003e8.2.2 The Term Structure of Interest Rates\u003c\/i\u003e 235\u003c\/p\u003e \u003cp\u003e\u003ci\u003e8.2.3 Duration and Convexity\u003c\/i\u003e 238\u003c\/p\u003e \u003cp\u003e8.3 Interest Rate Models 242\u003c\/p\u003e \u003cp\u003e\u003ci\u003e8.3.1 Vasicek Model\u003c\/i\u003e 242\u003c\/p\u003e \u003cp\u003e\u003ci\u003e8.3.2 CIR Model\u003c\/i\u003e 249\u003c\/p\u003e \u003cp\u003e\u003ci\u003e8.3.3 CKLS Model\u003c\/i\u003e 250\u003c\/p\u003e \u003cp\u003e\u003ci\u003e8.3.4 Forecasting Interest Rates\u003c\/i\u003e 253\u003c\/p\u003e \u003cp\u003e8.4 Empirically Testing the Expectations Hypothesis 254\u003c\/p\u003e \u003cp\u003e\u003ci\u003e8.4.1 Introduction\u003c\/i\u003e 254\u003c\/p\u003e \u003cp\u003e\u003ci\u003e8.4.2 Testing the Expectations Hypothesis\u003c\/i\u003e 255\u003c\/p\u003e \u003cp\u003e\u003ci\u003e8.4.3 Results and the Expectations Hypothesis\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\u003ci\u003eParadox\u003c\/i\u003e 258\u003c\/p\u003e \u003cp\u003e8.5 Empirical Examples 261\u003c\/p\u003e \u003cp\u003e8.6 Summary 267\u003c\/p\u003e \u003cp\u003e8.7 End of Chapter Questions 268\u003c\/p\u003e \u003cp\u003e8.8 Appendix 268\u003c\/p\u003e \u003cp\u003e\u003ci\u003e8.8.1 Data\u003c\/i\u003e 268\u003c\/p\u003e \u003cp\u003e\u003ci\u003e8.8.2 MATLAB\u003c\/i\u003e® \u003ci\u003ePrograms and Toolboxes\u003c\/i\u003e 270\u003c\/p\u003e \u003cp\u003e8.9 References 271\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Market Risk Management 274\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Introduction 274\u003c\/p\u003e \u003cp\u003e9.2 VaR by the Delta-Normal Approach 275\u003c\/p\u003e \u003cp\u003e\u003ci\u003e9.2.1 VaR for a Single Asset\u003c\/i\u003e 275\u003c\/p\u003e \u003cp\u003e\u003ci\u003e9.2.2 VaR for a Portfolio\u003c\/i\u003e 278\u003c\/p\u003e \u003cp\u003e\u003ci\u003e9.2.3 RiskMetrics and the Delta-Normal Approach\u003c\/i\u003e 280\u003c\/p\u003e \u003cp\u003e9.3 VaR by Historical Simulation 282\u003c\/p\u003e \u003cp\u003e9.4 VaR by Monte Carlo Simulation 283\u003c\/p\u003e \u003cp\u003e9.5 VaR for Bonds 285\u003c\/p\u003e \u003cp\u003e9.6 VaR for Derivatives 287\u003c\/p\u003e \u003cp\u003e\u003ci\u003e9.6.1 VaR by Delta-Gamma\u003c\/i\u003e 287\u003c\/p\u003e \u003cp\u003e\u003ci\u003e9.6.2 VaR by Monte Carlo Simulation\u003c\/i\u003e 292\u003c\/p\u003e \u003cp\u003e9.7 Backtesting 295\u003c\/p\u003e \u003cp\u003e9.8 Financial Regulation and VaR 299\u003c\/p\u003e \u003cp\u003e9.9 Empirical Examples 306\u003c\/p\u003e \u003cp\u003e9.10 Summary 319\u003c\/p\u003e \u003cp\u003e9.11 End of Chapter Questions 320\u003c\/p\u003e \u003cp\u003e9.12 Appendix 321\u003c\/p\u003e \u003cp\u003e\u003ci\u003e9.12.1 Data\u003c\/i\u003e 321\u003c\/p\u003e \u003cp\u003e\u003ci\u003e9.12.2 MATLAB\u003c\/i\u003e® \u003ci\u003ePrograms and Toolboxes\u003c\/i\u003e 322\u003c\/p\u003e \u003cp\u003e9.13 References 324\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix Statistical Tables 326\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA.1 Areas Under the Standard Normal Distribution 327\u003c\/p\u003e \u003cp\u003eA.2 Critical Values for Student’s \u003ci\u003et\u003c\/i\u003e-distribution 328\u003c\/p\u003e \u003cp\u003eA.3 Critical Values for the \u003ci\u003eF\u003c\/i\u003e-distribution 329\u003c\/p\u003e \u003cp\u003eA.4 Critical Values for the Chi-square Distribution 332\u003c\/p\u003e \u003cp\u003eA.5 Cumulative Distribution Function for the Dickey–Fuller Test 334\u003c\/p\u003e \u003cp\u003eA.6 Response Surfaces for Critical Values of Cointegration Tests 335\u003c\/p\u003e \u003cp\u003e\u003cb\u003eIndex 336\u003c\/b\u003e\u003c\/p\u003e\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Economics [\u003ca title=\"See our other books on Economics\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Economics%20%5BKC%5D%22\"\u003eKC\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Wiley","offers":[{"title":"Brand New","offer_id":52276349174040,"sku":"9780470512890","price":41.99,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/files\/9780470512890.jpg?v=1781366782","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/empirical-finance-for-finance-and-banking-paperback-softback-9780470512890","provider":"Freshly Printed Books","version":"1.0","type":"link"}