Skip to main content
SpringerLink
Log in
Book cover

Empirical Techniques in Finance

  • Book
  • © 2005

Overview

Authors:
  1. Ramaprasad Bhar

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

    View author publications

    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)

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 84.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 109.00
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book USD 109.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (14 chapters)

  1. Front Matter

    Pages I-XII
    Download chapter PDF

  2. Introduction

    Pages 1-4

  3. Basic Probability Theory and Markov Chains

    Pages 5-17

  4. Estimation Techniques

    Pages 19-29

  5. Non-Parametric Method of Estimation

    Pages 31-39

  6. Unit Root, Cointegration and Related Issues

    Pages 41-54

  7. VAR Modeling

    Pages 55-65

  8. Time Varying Volatility Models

    Pages 67-82

  9. State-Space Models (I)

    Pages 83-104

  10. State-Space Models (II)

    Pages 105-126

  11. Discrete Time Real Asset Valuation Model

    Pages 127-140

  12. Discrete Time Model of Interest Rate

    Pages 141-154

  13. Global Bubbles in Stock Markets and Linkages

    Pages 155-191

  14. Forward FX Market and the Risk Premium

    Pages 193-213

  15. Equity Risk Premia from Derivative Prices

    Pages 215-237

  16. Back Matter

    Pages 239-243
    Download chapter PDF
Back to top

Keywords

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.

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

Bibliographic Information

Publish with us

Policies and ethics

Back to top

Search

Navigation