Risk Econometrics
Academic Press Inc (Verlag)
978-0-12-817864-5 (ISBN)
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Based on R and Python, and accompanied by both exercises and research projects, this book reinforces a balance between theory and practice that other books, wedded to only one statistical method, cannot match.
Elena Goldman is an Associate Professor at Pace University, where she teaches courses in Financial Econometrics, International Finance and Financial Management. She has published in the Journal of Financial Research, Studies in Nonlinear Dynamics and Econometrics, Empirical Economics, Communications in Statistics, Journal of Trade and Global Markets, Economics Letters, Bayesian Statistics and its Applications volume among other, and she received her Ph.D. from Rutgers University.
1. Introduction to Risk Econometrics, Data and Software 2. Review of Statistics: Frequentist and Bayesian Methods 3. Financial Returns and Volatility 4. Linear Regression and Factor Models 5. Univariate Time Series Modeling and Forecasting 6. Univariate Volatility Models 7. Multivariate Time Series Modeling and Forecasting 8. Downside Risk 9. Credit Risk 10. Systemic Risk and Financial Stability 11. Climate Risk and ESG Investment 12. High Frequency Data Analysis 13. State Space and Regime Switching Models 14. Corporate Financial Policies 15. Big Data and Machine Learning
| Erscheint lt. Verlag | 1.6.2022 |
|---|---|
| Verlagsort | San Diego |
| Sprache | englisch |
| Maße | 152 x 229 mm |
| Themenwelt | Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie |
| ISBN-10 | 0-12-817864-7 / 0128178647 |
| ISBN-13 | 978-0-12-817864-5 / 9780128178645 |
| Zustand | Neuware |
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