Performing financial studies : a methodological cookbook
著者
書誌事項
Performing financial studies : a methodological cookbook
Prentice Hall, c2004
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注記
Includes index
内容説明・目次
内容説明
A core text for courses in Financial Research Methods or Financial Statistics, and a reference to be used throughout an entire graduate or undergraduate financial program.
Unique in both content and approach, this text/reference provides a welcome solution to a problem all to often encountered by finance students at both the undergraduate and graduate levels: they take a statistics course, leave the class thinking they know statistics, but when asked to carry out the methodology in a research setting, they invariably cannot. Unlike other financial statistics texts (which simply explain how a procedure should be done), this text focuses on key financial procedures and breaks them down to a level truly accessible to students by showing them in detail what to do at each step in the procedure-much like following a recipe in a cookbook. And, because raw financial datasets are used, each method is related directly to finance and to the specific problems financial data presents. Students also become adept at using statistical procedures related exclusively to finance (often tersely described only in academic journals).
目次
I. GETTING STARTED.
1. Understanding Your Data.
2. Preparing Your Data for Analysis.
II. BASIC FINANCIAL STATISTICS/METHODOLOGIES.
3. Correlation.
4. Autocorrelation.
5. Partial Autocorrelation.
6. Autocorrelation for Nonparametric Data (Wald-Wolfowitz Runs Test).
7. T-test.
8. Analysis of Variance.
9. Regression.
10. Factor Analysis.
11. Calculating a Stock's Beta.
12. Predictive Ability.
III. ADVANCED FINANCIAL TECHNIQUES/METHODOLOGIES.
13. Event Studies.
14. Unit Root Test.
15. Granger Causality.
16. Cointegration.
17. Vector Autoregression.
18. Vector Error Correction.
19. ARCH/GARCH.
20. Programming a Binomial Option Pricing Model.
21. Programming a Black-Scholes Option Pricing Model.
IV. WRITING A FINANCIAL STUDY.
22. Sections in a Financial Study.
23. Bringing Output into Microsoft Word.
Appendix - Dataset Descriptions.
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