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The basics of financial econometrics (Chapter 1: Introduction, Chapter 2:…
The basics of financial econometrics
Chapter 1:
Introduction
Chapter 2:
Simple linear regression
Chapter 3:
Multiple linear regression
Chapter 4:
Building and testing a multiple linear regression model
Chapter 5:
Introduction to time series analysis
Chapter 6:
Regression models with categorical variables
Chapter 7:
Quantitative regressions
Chapter 8:
Robust regression
Chapter 9:
Autoagressive moving average models
Chapter 10:
Cointegration
Chapter 11:
Autoregression heteroscedasticity model and its variants
Chapter 12:
Factor analysis and principal components analysis
Chapter 13:
Model estimation
Chapter 14:
Model selection
Chapter 15:
Formulating and implementing investment strategies using financial econometrics
Appendix A:
Descriptive statistics
Appendix B:
Continuous probability distributions commonly used in financial econometrics
Appendix C:
Inferential statistics
Appendix D:
Fundamental of matrix algebra
Appendix E:
Model selection criterion: AIC and BIC
Appendix F:
Robust statistics