Introduction to Statistical Methods for Financial Models

ISBN-13: 9780367657871 / Angielski / Miękka / 2020 / 370 str.

Thomas A. Severini

Opis

This book introduces the use of statistical concepts and methods to model and analyze financial data, including the market model, the single-index model, and factor models. It contains detailed numerical examples using genuine financial data along with numerous exercises including both questions requiring analytic solutions and

Spis treści

Returns.

Random Walk Hypothesis.

Portfolios.

Efficient Portfolio Theory.

Estimation.

Capital Asset Pricing Model.

The Market Model.

The Single-Index Model.

Factor Models.

O autorze

Thomas A. Severini is a professor of statistics at Northwestern University. He is a fellow of the American Statistical Association and the author of Likelihood Methods in Statistics and Elements of Distribution Theory. He received his PhD in statistics from the University of Chicago. His research areas include likelihood inference, nonparametric and semiparametric methods, and applications to econometrics.