Relevant bibliographies by topics / Econometrics for finance

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Econometrics for finance'

Author: Grafiati
Published: 4 June 2021
Last updated: 15 February 2022

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Econometrics for finance.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Journal articles on the topic "Econometrics for finance"

1

Satchell, Steve. "Introductory Econometrics for Finance." Economic Journal 113, no. 488 (June 1, 2003): F397—F398. http://dx.doi.org/10.1111/1468-0297.13911.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Chen, Shu-Heng, Chia-Ling Chang, and Ye-Rong Du. "Agent-based economic models and econometrics." Knowledge Engineering Review 27, no. 2 (April 26, 2012): 187–219. http://dx.doi.org/10.1017/s0269888912000136.

Full text
Abstract:
AbstractThis paper reviews the development of agent-based (computational) economics (ACE) from an econometrics viewpoint. The review comprises three stages, characterizing the past, the present, and the future of this development. The first two stages can be interpreted as an attempt to build the econometric foundation of ACE, and, through that, enrich its empirical content. The second stage may then invoke a reverse reflection on the possible agent-based foundation of econometrics. While ACE modeling has been applied to different branches of economics, the one, and probably the only one, which is able to provide evidence of this three-stage development is finance or financial economics. We will, therefore, focus our review only on the literature of agent-based computational finance, or, more specifically, the agent-based modeling of financial markets.
APA, Harvard, Vancouver, ISO, and other styles
3

Bernardi, Mauro, Stefano Grassi, and Francesco Ravazzolo. "Bayesian Econometrics." Journal of Risk and Financial Management 13, no. 11 (October 29, 2020): 257. http://dx.doi.org/10.3390/jrfm13110257.

Full text
Abstract:
The computational revolution in simulation techniques has shown to become a key ingredient in the field of Bayesian econometrics and opened new possibilities to study complex economic and financial phenomena. Applications include risk measurement, forecasting, assessment of policy effectiveness in macro, finance, marketing and monetary economics.
APA, Harvard, Vancouver, ISO, and other styles
4

Maziarz, Mariusz. "‘Emerging contrary result’ phenomenon and scientific realism." Panoeconomicus, no. 00 (2020): 24. http://dx.doi.org/10.2298/pan171218024m.

Full text
Abstract:
The article is aimed at reconsidering the question if the project of econometrics can be read in line with scientific realism. Previously, the methodological literature focused on the philosophy of econometrics, voices criticizing realist interpretations of econometrics were raised. The criticism was aimed at showing that econometric models lack robustness. The use of slightly different methods leads to obtaining different and often contrary models what supposedly undermine the project of econometrics. In this article, I aim at offering a new argument in defence of the current practice of the economists devoted to the empirical branch of macroeconomics. To do so, I apply M?ki?s (2009) model of representation to three case studies of contradictory pairs of econometric models and argue that contrary results are not necessarily a drawback of econometrics. Instead, the seemingly contradictory pairs of models are useful in various contexts constituted by their purpose and audience.
APA, Harvard, Vancouver, ISO, and other styles
5

Hansen, Lars Peter. "Time-Series Econometrics in Macroeconomics and Finance." Journal of Political Economy 125, no. 6 (December 2017): 1774–82. http://dx.doi.org/10.1086/694625.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

Campbell, John Y., Andrew W. Lo, A. Craig MacKinlay, and Robert F. Whitelaw. "THE ECONOMETRICS OF FINANCIAL MARKETS." Macroeconomic Dynamics 2, no. 4 (December 1998): 559–62. http://dx.doi.org/10.1017/s1365100598009092.

Full text
Abstract:
This book is an ambitious effort by three well-known and well-respected scholars to fill an acknowledged void in the literature—a text covering the burgeoning field of empirical finance. As the authors note in the preface, there are several excellent books covering financial theory at a level suitable for a Ph.D. class or as a reference for academics and practitioners, but there is little or nothing similar that covers econometric methods and applications. Perhaps the closest existing text is the recent addition to the Wiley Series in Financial and Quantitative Analysis. written by Cuthbertson (1996). The major difference between the books is that Cuthbertson focuses exclusively on asset pricing in the stock, bond, and foreign exchange markets, whereas Campbell, Lo, and MacKinlay (henceforth CLM) consider empirical applications throughout the field of finance, including corporate finance, derivatives markets, and market microstructure. The level of anticipation preceding publication can be partly measured by the fact that at least three reviews (including this one) have appeared since the book arrived. Moreover, in their reviews, both Harvey (1998) and Tiso (1998) comment on the need for such a text, a sentiment that has been echoed by numerous finance academics.
APA, Harvard, Vancouver, ISO, and other styles
7

Diebold, F. X., R. F. Engle, C. Favero, G. M. Gallo, and F. Schorfheide. "The econometrics of macroeconomics, finance, and the interface." Journal of Econometrics 131, no. 1-2 (March 2006): 1–2. http://dx.doi.org/10.1016/j.jeconom.2005.01.002.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

Hoover, Kevin D. "Econometrics as observation: the Lucas critique and the nature of econometric inference." Journal of Economic Methodology 1, no. 1 (July 1994): 65–80. http://dx.doi.org/10.1080/13501789400000006.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

KK, D. R. Cox, D. V. Hinkley, and O. E. Barndorff-Nielsen. "Time Series Models in Econometrics, Finance and Other Fields." Journal of the American Statistical Association 92, no. 438 (June 1997): 799. http://dx.doi.org/10.2307/2965747.

Full text
APA, Harvard, Vancouver, ISO, and other styles
10

Levendorskiĭ, Sergei, Aleksandar Mijatovic, and Martijn Pistorius. "PREFACE — Spectral and Cubature Methods in Finance and Econometrics." International Journal of Theoretical and Applied Finance 14, no. 07 (November 2011): v—vii. http://dx.doi.org/10.1142/s0219024911006814.

Full text
APA, Harvard, Vancouver, ISO, and other styles
More sources

Dissertations / Theses on the topic "Econometrics for finance"

1

Vasios, Michail. "Essays in empirical finance and econometrics." Thesis, University of Warwick, 2013. http://wrap.warwick.ac.uk/62057/.

Full text
Abstract:
This thesis consists of three essays and aims to deepen our understanding of agent's actions in financial markets at different aggregation levels and using various data. In the first essay, we analyse the trades of brokers in a non-anonymous market. Specifically, we explore the information context of broker identities and how their disclosure can be exploited by other investors. Using data from the Helsinki Stock Exchange we form dynamic mean-variance strategies with daily rebalancing which condition on the net flow of brokers. We find that investors can benefit from knowing who trades compared to a portfolio that disregards this information. We demonstrate a link between the information content of broker order flow and the sophistication of their clients. In the second essay, we investigate the forecasts of sell-side analysts. We use banking sector news to proxy for the severity of career concerns and examine their impact on analysts' tendency to make bold forecasts. We show that analysts follow the consensus forecast more closely when the prospects of the banking sector are negative. The more established analysts, in terms of reputation and experience, are generally unaffected by banking news. In contrast, their less established peers cluster their forecasts near the consensus after negative news for banks. In the last essay, we are interested in the estimation of the covariation matrix of equity prices in the presence of market microstructure noise and non-synchronous trading. We base our analysis on a simple framework that derives separate pooled OLS regressions from other well-known estimators, whose byproducts are the integrated variance and covariance, and noise components. A comprehensive simulation study shows that our estimator is very precise and out-performs other widely applied estimation techniques. A similar picture emerges when we use historical data. Finally, we document the association of the noise component with liquidity frictions.
APA, Harvard, Vancouver, ISO, and other styles
2

Spear, Scott A. "Essays in finance and time series econometrics /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1997. http://wwwlib.umi.com/cr/ucsd/fullcit?p9804535.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Kang, Long. "Three essays on financial econometrics and empirical finance." [Bloomington, Ind. ] : Indiana University, 2008. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3344579.

Full text
Abstract:
Thesis (Ph.D.)--Indiana University, Dept. of Economics, 2008.
Title from PDF t.p. (viewed on Oct 5, 2009). Source: Dissertation Abstracts International, Volume: 70-02, Section: A, page: 0642. Advisers: Pravin K. Trivedi; Konstantin Tyurin.
APA, Harvard, Vancouver, ISO, and other styles
4

Fernandes, Marcelo. "Essays on the econometrics of continuous-time finance." Doctoral thesis, Universite Libre de Bruxelles, 1998. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/211986.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

Westrupp, Victor. "The TED spread as a risk factor in the cross section of stock returns." Universidade de São Paulo, 2012. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-18102012-182219/.

Full text
Abstract:
We provide empirical evidence of the TED spread as a risk factor in the cross-section of stock returns. Portfolios with high sensitivities to the TED spread have high average risk-adjusted returns. The pricing of TED spread risk is especially strong among small caps. TED spread is a usual measure of funding difficulties in interbank markets and our results are consistent with the Margin-CAPM model of Garleanu and Pedersen (2011).
Esta dissertação apresenta evidência empírica da TED Spread como um fator de risco na cross-section dos retornos de ações. Portfólios com elevada sensibilidade à TED Spread possuem elevados retornos médios ajustados para outros fatores de risco. O apreçamento do risco de TED Spread é especialmente forte entre small caps. TED Spread é uma medida usual de dificuldades de financiamento em mercados interbancários e o resultado obtido é consistente com o modelo Margin-CAPM de Gârleanu and Pedersen (2011).
APA, Harvard, Vancouver, ISO, and other styles
6

Xu, Jiangmin. "Essays on trading and financial econometrics." Thesis, Princeton University, 2014. http://pqdtopen.proquest.com/#viewpdf?dispub=3627305.

Full text
Abstract:

This dissertation studies trading and investment in financial markets through the lens of financial econometrics. Chapter 1 develops a continuous-time model of the optimal strategies of high-frequency traders (HFTs) to rationalize their pinging activities - defined as rapid submissions and subsequent cancellations of limit orders inside the bid-ask spread. The current worry is that HFTs ping inside the spread to manipulate the market. In contrast, the HFT in my model uses pinging to control inventory or to chase short-term price momentum without any learning or manipulative motives. I use historical message data to reconstruct limit order books, and characterize the HFT's optimal strategies under the viscosity solution to my model. By gauging the model's implications against data, I show that pinging is not necessarily manipulative and is rationalizable as part of the dynamic trading strategies of HFTs.

In Chapter 2, joint with Harrison Hong, we use overdispersed Poisson regression models to study social networks in finance. We count an investor's social connections in different cities as proportional to the number of stocks held by this investor that are headquartered in those cities. When connections are formed in an i.i.d. manner, the count of such connections in any city follows a Poisson distribution. Using data from institutional investors' holdings, we find instead overdispersion for a number of cities like San Jose and San Diego, which suggests that investors have non-i.i.d. propensities to be connected to these cities. Overdispersed cities have a large number of graduates from local universities who work in the fund industry. Managers with relatively high non-i.i.d. propensities to have social contacts significantly outperform other managers.

In Chapter 3, I propose a continuous-time model for the joint stochastic process of asset price and trading volume to study the transmission mechanism from changes in trading volume to price movements at the high-frequency level. A GMM-based estimation procedure is developed based on the model's closed-form moment conditions. I estimate the model on real-world high frequency financial data and find that, jumps in volume have a strong cross-excitation effect on jumps in price. Other implications of the model are also discussed.

APA, Harvard, Vancouver, ISO, and other styles
7

Yen, Yu-Min. "Three essays in financial econometrics." Thesis, London School of Economics and Political Science (University of London), 2012. http://etheses.lse.ac.uk/445/.

Full text
Abstract:
Sparse Weighted Norm Minimum Variance Portfolio. In this paper, I propose a weighted L1 and squared L2 norm penalty in portfolio optimization to improve the portfolio performance as the number of available assets N goes large. I show that under certain conditions, the realized risk of the portfolio obtained from this strategy will asymptotically be less than that of some benchmark portfolios with high probability. An intuitive interpretation for why including a fewer number of assets may be beneficial in the high dimensional situation is built on a constraint between sparsity of the optimal weight vector and the realized risk. The theoretical results also imply that the penalty parameters for the weighted norm penalty can be specified as a function of N and sample size n. An efficient coordinate-wise descent type algorithm is then introduced to solve the penalized weighted norm portfolio optimization problem. I find performances of the weighted norm strategy dominate other benchmarks for the case of Fama-French 100 size and book to market ratio portfolios, but are mixed for the case of individual stocks. Several novel alternative penalties are also proposed, and their performances are shown to be comparable to the weighted norm strategy. Bond Variance Risk Premia (Joint work with Philippe Mueller and Andrea Vedolin). Using data from 1983 to 2010, we propose a new fear measure for Treasury markets, akin to the VIX for equities, labeled TIV. We show that TIV explains one third of the time variation in funding liquidity and that the spread between the VIX and TIV captures flight to quality. We then construct Treasury bond variance risk premia as the difference between the implied variance and an expected variance estimate using autoregressive models. Bond variance risk premia display pronounced spikes during crisis periods. We show that variance risk premia encompass a broad spectrum of macroeconomic uncertainty. Uncertainty about the nominal and the real side of the economy increase variance risk premia but uncertainty about monetary policy has a strongly negative effect. We document that bond variance risk premia predict excess returns on Treasuries, stocks, corporate bonds and mortgage-backed securities, both in-sample and out-of-sample. Furthermore, this predictability is not subsumed by other standard predictors. Testing Jumps via False Discovery Rate Control. Many recently developed nonparametric jump tests can be viewed as multiple hypothesis testing problems. For such multiple hypothesis tests, it is well known that controlling type I error often unavoidably makes a large proportion of erroneous rejections, and such situation becomes even worse when the jump occurrence is a rare event. To obtain more reliable results, we aim to control the false discovery rate (FDR), an efficient compound error measure for erroneous rejections in multiple testing problems. We perform the test via a nonparametric statistic proposed by Barndorff-Nielsen and Shephard (2006), and control the FDR with a procedure proposed by Benjamini and Hochberg (1995). We provide asymptotical results for the FDR control. From simulations, we examine relevant theoretical results and demonstrate the advantages of controlling FDR. The hybrid approach is then applied to empirical analysis on two benchmark stock indices with high frequency data.
APA, Harvard, Vancouver, ISO, and other styles
8

Brooks, Joshua Andrew. "Three essays on investments and time series econometrics." Thesis, The University of Alabama, 2015. http://pqdtopen.proquest.com/#viewpdf?dispub=3711188.

Full text
Abstract:

This dissertation includes three essays on investments and time series econometrics. This work gives new insight into the behavior of implied marginal tax rates, implied volatility, and option pricing models. The first essay examines the movement of implied marginal tax rates. A body of research points to the existence of implied marginal tax rates that can be extracted from security or derivative prices. We use the LIBOR-based interest rate swap curve and the MSI-based interest rate swap curve to examine changes in the implied tax rate. We document multiple statistically and economically significant structural breaks in the long-run implied marginal tax rate that are not exclusively located in the financial crisis (one as recent as October, 2010). These breaks represent persistent divergence from long run averages and indicate that mean reversion models may not accurately describe the stochastic processes of implied marginal tax rates. In the second essay, I develop an asymmetric time series model of the VIX. I show that the VIX and realized volatility display significant nonlinear effects which I approximate with a smooth-transition autoregressive model. I find that under certain regimes the VIX depends almost exclusively on previous realized volatility. Under other regimes, I find that the VIX depends on both its lags and previous realized volatility. Since the VIX has become a popular hedging instrument, this finding has important implications for risk managers who elect to use the VIX and its related investment vehicles. It also has implications for the use of implied volatility in value-at-risk forecasting. The third essay presents a new model for option pricing model selection. There is a significant performativity issue intrinsic in much of the option pricing literature. Once an option-pricing model (OPM) gains widespread acceptance, volatilities tend to move so that the OPM fits well with observed prices. This often leads to systematic mispricing based purely on model results. A number of systematic issues such as volatility smile are present in OPMs. To remedy this issue, I propose a new method for ranking OPMs based on one step ahead forecasts. This model transforms the data to build a distribution of the stochastic term present in OPM. This sample distribution is then tested for normality so that OPMs can be ranked in a Bayesian-like framework by their closeness to a normal distribution.

APA, Harvard, Vancouver, ISO, and other styles
9

Flury, Thomas. "Econometrics of dynamic non-linear models in macroeconomics and finance." Thesis, University of Oxford, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.523095.

Full text
APA, Harvard, Vancouver, ISO, and other styles
10

Wu, Yue. "Bayesian dynamic covariance models with applications to finance and econometrics." Thesis, University of Cambridge, 2014. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.708037.

Full text
APA, Harvard, Vancouver, ISO, and other styles
More sources

Books on the topic "Econometrics for finance"

1

Introductory econometrics for finance. 2nd ed. Cambridge [England]: Cambridge University Press, 2008.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
2

Rachev, Svetlozar T. Financial Econometrics. New York: John Wiley & Sons, Ltd., 2007.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
3

Hansen, Lars Peter, and Yacine Aït-Sahalia. Handbook of financial econometrics. Boston: North-Holland, an imprint of Elsevier, 2009.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
4

Meyers, Robert A. Complex Systems in Finance and Econometrics. New York, NY: Springer Science+Business Media, LLC, 2011.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
5

Wang, Peijie. Financial econometrics. New York, NY: Routledge, 2008.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
6

Aït-Sahalia, Yacine. Handbook of financial econometrics tools and techniques. Amsterdam: North-Holland/Elsevier, 2010.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
7

Lim, Kian Guan. Financial valuation and econometrics. Singapore: World Scientific Pub., 2011.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
8

The basics of financial econometrics: Tools, concepts, and asset management applications. Hoboken, New Jersey: John Wiley & Sons, Inc., 2014.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
9

Maddala, G. S. Introduction to econometrics. New York: Macmillan, 1988.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
10

Maddala, G. S. Introduction to econometrics. 2nd ed. Upper Saddle River: Prentice-Hall International, 1992.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
More sources

Book chapters on the topic "Econometrics for finance"

1

Mizrach, Bruce. "Finance and Econometrics, Introduction to." In Encyclopedia of Complexity and Systems Science, 3388–91. New York, NY: Springer New York, 2009. http://dx.doi.org/10.1007/978-0-387-30440-3_202.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Mizrach, Bruce. "Finance and Econometrics, Introduction to." In Complex Systems in Finance and Econometrics, 290–92. New York, NY: Springer New York, 2009. http://dx.doi.org/10.1007/978-1-4419-7701-4_16.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Beck, Thorsten. "The Econometrics of Finance and Growth." In Palgrave Handbook of Econometrics, 1180–209. London: Palgrave Macmillan UK, 2009. http://dx.doi.org/10.1057/9780230244405_25.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

Escanciano, Juan-Carlos, and Alvaro Escribano. "Econometrics: Non-linear Cointegration." In Complex Systems in Finance and Econometrics, 203–15. New York, NY: Springer New York, 2009. http://dx.doi.org/10.1007/978-1-4419-7701-4_11.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

Wooldridge, Jeffrey M. "Econometrics: Panel Data Methods." In Complex Systems in Finance and Econometrics, 215–37. New York, NY: Springer New York, 2009. http://dx.doi.org/10.1007/978-1-4419-7701-4_12.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

Piger, Jeremy. "Econometrics: Models of Regime Changes." In Complex Systems in Finance and Econometrics, 190–202. New York, NY: Springer New York, 2009. http://dx.doi.org/10.1007/978-1-4419-7701-4_10.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Svetunkov, Sergey. "Principles of Complex-Valued Econometrics." In Complex-Valued Modeling in Economics and Finance, 87–142. New York, NY: Springer New York, 2012. http://dx.doi.org/10.1007/978-1-4614-5876-0_4.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

Manzan, Sebastiano. "Finance, Agent Based Modeling in." In Complex Systems in Finance and Econometrics, 293–307. New York, NY: Springer New York, 2009. http://dx.doi.org/10.1007/978-1-4419-7701-4_17.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

Perfilieva, Irina. "Dimensionality Reduction by Fuzzy Transforms with Applications to Mathematical Finance." In Econometrics for Financial Applications, 243–54. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-73150-6_19.

Full text
APA, Harvard, Vancouver, ISO, and other styles
10

Lee, Cheng-Few, Hong-Yi Chen, and John Lee. "Fixed Effects Versus Random Effects in Finance Research." In Financial Econometrics, Mathematics and Statistics, 159–79. New York, NY: Springer New York, 2019. http://dx.doi.org/10.1007/978-1-4939-9429-8_6.

Full text
APA, Harvard, Vancouver, ISO, and other styles

Conference papers on the topic "Econometrics for finance"

1

Pushkarev, Andrey, Anna Sennikova, and Oleg Mariev. "ECONOMETRIC ESTIMATION OF MARKET SELECTION IN RUSSIA: DIFFERENT PERFORMANCE INDICATORS." In 13th Economics & Finance Virtual Conference, Prague. International Institute of Social and Economic Sciences, 2020. http://dx.doi.org/10.20472/efc.2020.013.013.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Sadiku, Murat, Luljeta Sadiku, and Nasir Selimi. "ECONOMETRIC ANALYSIS OF COMPETITIVENESS, INNOVATION AND TRADE OPENNESS OF WESTERN BALKAN COUNTRIES." In 12th Economics & Finance Conference, Dubrovnik. International Institute of Social and Economic Sciences, 2019. http://dx.doi.org/10.20472/efc.2019.012.019.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Escot, Lorenzo, Alicia Pérez Alonso, and Julio Emilio Sandubete. "R-ADAPTATION OF THE COURSE “ECONOMETRIC METHODS IN ECONOMICS AND FINANCE”." In 11th International Conference on Education and New Learning Technologies. IATED, 2019. http://dx.doi.org/10.21125/edulearn.2019.0407.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

Zopiatis, Anastasios, Christos Savva, Neophytos Lambertides, and Michael McAleer. "Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors." In 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017). Paris, France: Atlantis Press, 2017. http://dx.doi.org/10.2991/icefs-17.2017.5.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

Karatalov, Omurbek. "Open Economy and Economic Integration within the Framework of Eurasia." In International Conference on Eurasian Economies. Eurasian Economists Association, 2013. http://dx.doi.org/10.36880/c04.00633.

Full text
Abstract:
The Kyrgyz Republic economy openness is studied within the framework of the Eurasia. Insufficient level of the financial and economic standing of Kyrgyzstan is clarified. Reasons for Governmental regulating use in the area of monetary, tax and budget policy in USA have been set up. Conditions of the development of industrial countries economy are under consideration. The necessity of financialisation of all capital of country is defined. Kyrgyzstan public budget’s permanent deficiency formation reasons are studied. A necessity of integration economic relations development within the framework of Eurasia is offered. A necessity of sustainable economic relations establishment as well as finding solution for external debt between Kyrgyzstan and Russia have been justified. It is recommended to strengthen effective fight against a scale corruption, «shadow» economy and criminalization of economy and finances. The increase of efficiency and responsibility of top managers of the public administration level have been offered. The necessity of the independent mastering of own gold-mining fields is justified. The need to attract the foreign direct investments to the area of mining and processing industry have been offered. Within the framework of acceleration of economic integration. Needs for the development of exploring and processing of hydrocarbons as well as building of large economic entities especially the hydroelectric power stations, namely Kambar-Ata-1 Hydro-Power Plants have been suggested. By this it is also suggested to Russia to develop this as strategic partner of Kyrgyzstan. Creation of integral customs system and energy cooperation suggested. It should be supported by establishment of unique equivalent among Eurasia states. By this it is to be possible to find acceptable solutions in finance and economy and to form a united economic cooperation considering a sovereignty of each state. It is necessary to develop the identical financial reporting of point-of-sale and payment balances, balance of international investments, compliable national republics and on the whole on Eurasia. To walk away from the calculation and actual use of dollar of the USA in finance and economic operations. Based on econometric prognosis of gross internal product and the public budget of Kyrgyzstan is made calculating on the per to 2025 year.
APA, Harvard, Vancouver, ISO, and other styles
6

Chang, Chia-Lin, Michael McAleer, and Chien-Hsun Wang. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors." In 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017). Paris, France: Atlantis Press, 2017. http://dx.doi.org/10.2991/icefs-17.2017.10.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Li, Feng, and Chenggang Li. "Research on the Effect of Rural Finance on Agricultural Economy Based on Spatial Econometric Model." In Proceedings of the 2018 3rd International Conference on Communications, Information Management and Network Security (CIMNS 2018). Paris, France: Atlantis Press, 2018. http://dx.doi.org/10.2991/cimns-18.2018.43.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

"Real Estate Finance and Urban Economies: An Econometric Approach to Housing Prices in Australian Capital Cities." In 5th European Real Estate Society Conference: ERES Conference 1998. ERES, 1998. http://dx.doi.org/10.15396/eres1998_178.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

Karataş, Togan, and Emre Ürkmez. "Dynamics Affecting Gold Prices in the Global Crisis." In International Conference on Eurasian Economies. Eurasian Economists Association, 2013. http://dx.doi.org/10.36880/c04.00714.

Full text
Abstract:
Gold prices have been one of the most observed financial indicators in the global economy. Various macro dynamics that historically determine the price of gold, as a precious metal have been initiated. In this scope, gold price fluctuations are closely linked to the global economic conjuncture. In this study, the role of gold in the global economy and historical gold prices are examined briefly, and in the course of global finance crisis, the elements Dow- Jones Index, petrol prices and silver prices as assigning gold prices are dealt with. An economic and econometric analysis is carried out for these indicators since it is regarded that they are crucially instrumental in gold prices. Study period is determined monthly and covers between 2007:01 and 2013:02. Johansen co-integration test, VECM and impulse response analyses are used in the econometric analysis. According to VECM analysis, it has been found out that the indicators do not act in unison in the short term, but the results of co-integration analysis reveal that gold prices are associated with the related economic indicators in the long term. As a result of impulse response analysis, it is seen that gold prices are more influenced by the fluctuations in petrol prices than other indicators. Within the frame of findings, it has been revealed that gold prices unsurprisingly increase during the crisis periods and are influenced by the indicators stated above.
APA, Harvard, Vancouver, ISO, and other styles
10

Afgan, Naim H., Marina Jovanovic, and Maria G. Carvalho. "Sustainability Assessment of Solar Energy Systems." In ASME 2004 International Solar Energy Conference. ASMEDC, 2004. http://dx.doi.org/10.1115/isec2004-65140.

Full text
Abstract:
Solar energy systems are becoming potential option for numerous applications. It has been shown that the application of solar energy system is strongly dependent on criteria’s used in their evaluation. Single criteria evaluation of solar energy systems has shown its deficiency due to limited possibility to compare them with other potential options. In particular, present economic system is based on the econometric analysis with priority given to the optimum obtained by the economically justified optimization function. For this reason, it has become needed to introduce multi-criteria evaluation procedure in the assessment of solar energy system and its comparison with other potential options. This paper presents evaluation of the solar photovoltaic system and its comparison with other renewable energy system options for stand-alone application. In this evaluation following energy systems will be taking into a consideration: grid electric energy supply, wind energy system, gas turbine with cogeneration, small hydro energy system and solar photo-voltaic energy system. In the evaluation of these systems the multi-criteria evaluation procedure is used. The multi-criteria evaluation procedure will comprise a following criteria’s: economic, environmental, technological and social indicators. Each of indicators will be based on the sub-criteria which are defined in the paper. The sustainability index as the agglomeration function indicators will be used in the determination of the rating among the options under consideration. Special emphasize in evaluation is given to to the conditional priority of indicators leading to the investigation of the effect of the indicator priority to the finale rating among options.
APA, Harvard, Vancouver, ISO, and other styles

Reports on the topic "Econometrics for finance"

1

Billio, Monica, Mila Getmansky, Andrew Lo, and Loriana Pelizzon. Econometric Measures of Systemic Risk in the Finance and Insurance Sectors. Cambridge, MA: National Bureau of Economic Research, July 2010. http://dx.doi.org/10.3386/w16223.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Dejene Mamo, Bekana. The Impact of Intergovernmental Transfers on Fiscal Behaviour of Local Governments in Ethiopia. Institute of Development Studies (IDS), November 2020. http://dx.doi.org/10.19088/ictd.2020.001.

Full text
Abstract:
This paper examines the effect of intergovernmental fiscal transfers on the fiscal behaviour of local governments in Ethiopia for the period 2004-2018. The empirical findings suggest that central government grants bolster state-level employment and expenditure. However, grants from the central government to states do not crowd out state-level revenue collection. Hence, this paper argues that fiscal decentralisation in Ethiopia has mostly, at least in theory, taken the form of devolution of the power to tax and spend public money. However, on average state-level revenue can only finance up to 26 per cent of their annual expenditure. As a result, fiscal federalism in Ethiopia appears to be a form of delegation of spending responsibilities. It has to be considered in the context of a decentralised tax system, but with a transfer scheme and political hierarchy. The results are found to be robust to alternative econometric estimation techniques.
APA, Harvard, Vancouver, ISO, and other styles
You might also be interested in the extended bibliographies on the topic 'Econometrics for finance' for particular source types:
Journal articles Dissertations / Theses Books
We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!

To the bibliography