1st ed. 2019 Edition
by Cheng-Few Lee (Author), Hong-Yi Chen (Author), John Lee (Author)
This rigorous textbook introduces graduate students to the principles
of econometrics and statistics with a focus on methods and applications
in financial research. Financial Econometrics, Mathematics, and Statistics introduces
tools and methods important for both finance and accounting that assist
with asset pricing, corporate finance, options and futures, and
conducting financial accounting research.
Divided into four
parts, the text begins with topics related to regression and financial
econometrics. Subsequent sections describe time-series analyses; the
role of binomial, multi-nomial, and log normal distributions in option
pricing models; and the application of statistics analyses to risk
management. The real-world applications and problems offer students a
unique insight into such topics as heteroskedasticity, regression,
simultaneous equation models, panel data analysis, time series analysis,
and generalized method of moments.
Written by leading academics
in the quantitative finance field, allows readers to implement the
principles behind financial econometrics and statistics through
real-world applications and problem sets. This textbook will appeal to a
less-served market of upper-undergraduate and graduate students in
finance, economics, and statistics.
