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xix Frank J. Fabozzi is Professor of Finance at EDHEC Business School and a member of the EDHEC Risk Institute. He has held vari ...
xx About the Authors Methods, and Practice (1998), and Modeling the Markets: New Theories and Techniques (1997). He also coautho ...
About The Authors xxi over 45 articles and his work has appeared in the Journal of Risk and Uncer tainty, Journal of Banking an ...
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1 Chapter 1 Introduction a fter reading this chapter you will understand: ■ (^) What the field of financial econometrics covers. ...
2 The Basics of financial economeTrics larger databases making statistical analysis more accurate as well as provid- ing the opp ...
Introduction 3 economic intuition suggests some family of models which need, however, to pass rigorous statistical testing. On t ...
4 The Basics of financial economeTrics discuss the econometric technique known as simple linear regression anal- ysis in Chapter ...
Introduction 5 abilities on the last week. This method would have two major drawbacks. First, we would have only one forecast as ...
6 The Basics of financial economeTrics models model the economy or financial markets—artifacts subject to change. For example, U ...
Introduction 7 of financial econometrics has been in investment management and many of the illustrations in this book are from t ...
8 The Basics of financial economeTrics Forecasting for asset allocation goes beyond just forecasting returns. A fundamental prin ...
Introduction 9 The most sophisticated models used in portfolio construction are factor risk models (or simply factor models) usi ...
10 The Basics of financial economeTrics to the benchmark (referred to as the portfolio beta), sector allocations that differ fro ...
Introduction 11 ■ (^) In model selection, the modeler chooses a family of models with given statistical properties. Financial ec ...
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13 ChAPter ChAPter 2 Simple Linear regression a fter reading this chapter you will understand: ■ (^) How to estimate a simple li ...
14 The Basics of financial economeTrics −1 and 1 where the sign indicates the direction of the linear dependence. So, for exampl ...
Simple Linear Regression 15 taBLe 2.1 Monthly Returns of the S&P 500 Stock Index and General Electric during the Period Janu ...
16 The Basics of financial economeTrics However, we admit that the variation of y will be influenced by other quantities. Thus, ...
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