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Applied Econometrics: A Simple Introduction by K H Eric - Paperback NEW K H Eric
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Item specifics
- Condition
- Weight
- 113
- Subjects
- N/A
- Pages
- 102 Pages
- Size
- H:203mm, W:
- Topic
- Unknown
- Book Title
- Applied Econometrics: A Simple Introduction by K H Erickson (Pap
- ISBN
- 9781515065388
- Publication Year
- 2015
- Type
- Textbook
- Format
- Paperback
- Language
- English
- Publication Name
- Applied Econometrics: a Simple Introduction
- Item Height
- 203mm
- Publisher
- CreateSpace
- Item Width
- 133mm
- Subject
- Economics
- Item Weight
- 113g
- Number of Pages
- 102 Pages
About this product
Product Information
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.
Product Identifiers
Publisher
CreateSpace
ISBN-13
9781515065388
eBay Product ID (ePID)
226836215
Product Key Features
Publication Name
Applied Econometrics: a Simple Introduction
Format
Paperback
Language
English
Subject
Economics
Publication Year
2015
Type
Textbook
Number of Pages
102 Pages
Dimensions
Item Height
203mm
Item Width
133mm
Item Weight
113g
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Charlies Chapters Ltd
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