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  • Book
  • © 2005

Empirical Techniques in Finance

Authors:

  1. Ramaprasad Bhar

    1. School of Banking and Finance, The University of New South Wales, Sydney, Australia

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    You can also search for this author in PubMed   Google Scholar

  2. Shigeyuki Hamori

    1. Graduate School of Economics, Kobe University, Kobe, Japan

    View author publications

    You can also search for this author in PubMed   Google Scholar

  • Offers advanced modelling techniques to analyse financial and economic systems

  • Emphasis on model implementation using commonly used software systems

  • Shows how to explore complex structures without getting inundated with the underlying mathematics

  • Includes supplementary material: sn.pub/extras

Part of the book series: Springer Finance (FINANCE)

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Table of contents (14 chapters)

  1. Front Matter

    Pages I-XII
    PDF

  2. Introduction

    Pages 1-4

  4. Estimation Techniques

    Pages 19-29

  7. VAR Modeling

    Pages 55-65

  9. State-Space Models (I)

    Pages 83-104

  10. State-Space Models (II)

    Pages 105-126

  16. Back Matter

    Pages 239-243
    PDF
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About this book

This book offers the opportunity to study and experience advanced empi- cal techniques in finance and in general financial economics. It is not only suitable for students with an interest in the field, it is also highly rec- mended for academic researchers as well as the researchers in the industry. The book focuses on the contemporary empirical techniques used in the analysis of financial markets and how these are implemented using actual market data. With an emphasis on Implementation, this book helps foc- ing on strategies for rigorously combing finance theory and modeling technology to extend extant considerations in the literature. The main aim of this book is to equip the readers with an array of tools and techniques that will allow them to explore financial market problems with a fresh perspective. In this sense it is not another volume in eco- metrics. Of course, the traditional econometric methods are still valid and important; the contents of this book will bring in other related modeling topics that help more in-depth exploration of finance theory and putting it into practice. As seen in the derivatives analysis, modern finance theory requires a sophisticated understanding of stochastic processes. The actual data analyses also require new Statistical tools that can address the unique aspects of financial data. To meet these new demands, this book explains diverse modeling approaches with an emphasis on the application in the field of finance.
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Keywords

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Authors and Affiliations

  • School of Banking and Finance, The University of New South Wales, Sydney, Australia

    Ramaprasad Bhar

  • Graduate School of Economics, Kobe University, Kobe, Japan

    Shigeyuki Hamori

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