Sarit Maitra - Böcker
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3 produkter
3 produkter
Practical Guide to Static and Dynamic Econometric Modelling
Examples and Analysis with Python Code Embedded
Inbunden, Engelska, 2025
954 kr
Skickas inom 10-15 vardagar
mso-ansi-language: EN-US;">This book provides a comprehensive guide to econometric modeling, combining theory with practical implementation using Python. Readers will explore linear regression, data transformations, and hypothesis testing, along with advanced topics like the Capital Asset Pricing Model and dynamic modeling techniques.
743 kr
Skickas inom 10-15 vardagar
Nonlinear models are indispensable in modern finance, yet their reliance on numerical root-finding methods introduces layers of complexity that demand careful attention. This textbook offers a comprehensive and accessible guide to understanding these challenges and applying advanced econometric techniques to real-world financial and economic time series data.Designed for students, professionals, and researchers with a foundational background in statistics, econometrics, and finance, this book bridges the gap between theory and practice. It introduces key concepts progressively, making it suitable for both intermediate and advanced readers. Each chapter is written in clear, approachable language, ensuring that even those with limited prior experience in econometrics can grasp and apply the material effectively.The book is organized into five chapters that progressively guide readers through key concepts in financial time series modeling. It begins with Chapter 1, which introduces data filtering techniques, emphasizing the Kalman Filter's role in improving model accuracy. Chapter 2 explores volatility modeling, addressing common challenges in measuring and interpreting variance in financial data. Chapter 3 builds on this by presenting hybrid approaches that combine GARCH models with neural networks to enhance predictive performance. Chapter 4 applies dynamic volatility models to option valuation, offering both theoretical insights and practical tools. Finally, Chapter 5 delves into regime-switching models, including MSAR (Markov Switching Auto Regressive) and STAR (Smooth Transition Auto Regressive), to capture nonlinear behaviors and structural shifts in time series data. Together, these chapters form a cohesive narrative on modeling the dynamic behavior of financial time series, with a particular emphasis on volatility and structural shifts. Whether you're a finance professional, economist, or data scientist, this book is an essential resource for mastering the tools and techniques that drive modern financial analysis.
Non-Linearity in Econometric Modeling, Vol. 2
Empirical Applications and Source Code
Inbunden, Engelska, 2026
759 kr
Kommande
Nonlinear models have become indispensable in modern finance and economics, yet their reliance on numerical root-finding methods introduces layers of complexity that demand rigorous attention. This second volume of the two-part series offers a comprehensive and accessible guide to tackling these challenges and applying advanced econometric techniques to real-world financial and economic time series data.Designed for students, professionals, and researchers with a solid foundation in statistics, econometrics, and finance, this book bridges the gap between theory and practice. Concepts are introduced progressively, making it suitable for both intermediate and advanced readers. Each chapter is written in clear, approachable language, ensuring that even those with limited prior experience can grasp and apply the material effectively.Key Topics Include:Fundamentals of Non-Linear DynamicsEndogeneity in Econometric ModelsAsymmetric PricingPhysics-Inspired Gravity Models in EconomicsArtificial Intelligence and Machine Learning for Fraud AnalyticsWith practical examples, source code, and interdisciplinary insights, this volume empowers readers to navigate the complexities of nonlinear econometric modeling and apply cutting-edge techniques to contemporary challenges in finance and trade.