Handbook of Statistics 14A comprehensive reference work for teaching at graduate level and research in empirical finance. The chapters cover a wide range of statistical and probabilistic methods applied to a variety of financial methods and are written by internationally renowned experts.
Author(s): G, S Maddala
Series: Handbook of Statistics
Edition: 1
Publisher: Butterworth Heinemann
Year: 1996
Language: English
Pages: 735
Handbook of Statistics 14: Statistical Methods in Finance......Page 1
Table of contents......Page 3
Preface......Page 10
Contributors......Page 12
1. Econometric Evaluation of Asset Pricing Models......Page 14
2. Instrumental Variables Estimation of Conditional Beta Pricing Models......Page 47
3. Semiparametric Methods for Asset Pricing Models......Page 73
4. Modeling the term structure......Page 103
5. Stochastic Volatility......Page 131
6. Stock Price Volatility......Page 204
7. GARCH Models of Volatility......Page 220
8. Forecast Evaluation and Combination......Page 252
9. Predictable Components in Stock Returns......Page 280
10. Interest Rate Spreads as Predictors of Business Cycles......Page 308
11. Nonlinear Time Series, Complexity Theory, and Finance......Page 327
12. Count Data Models for Financial Data......Page 372
13. Financial Applications of Stable Distributions......Page 401
14. Probability Distributions for Financial Models......Page 434
15. Bootstrap Based Tests in Financial Models......Page 469
16. Principal Component and Factor Analyses......Page 495
17. Errors-in-Variables Problems in Financial Models......Page 512
18. Financial Applications of Artificial Neural Networks......Page 534
19. Applications of Limited Dependent Variable Models in Finance......Page 558
20. Testing Option Pricing Models......Page 572
21. Peso Problems: Their Theoretical and Empirical Implications......Page 617
22. Modeling Market Microstructure Time Series......Page 651
23. Statistical Methods in Tests of Portfolio Efficiency: A Synthesis......Page 697
Subject Index......Page 716
Handbook of Statistics: Contents of Previous Volumes......Page 721
