The content of this book was initially assembled during my Ph.D.
studies at the University of Tennessee as a means to keep track of
lessons learned applying statistical analysis to finance and
economic problems. Quite often I encountered scenarios where
available documentation was limited, nonexistent, or was
inadequately explained. It is my hope that this book fills in gaps
in understanding for you as it has for me. The first eight chapters
of this book provide some of the fundamental statistical analyses
(i.e., converting low-frequency data to high-frequency data and
performing univariate statistics). From there more in-depth
statistical analysis is covered in chapter nine which includes a
discussion of asset pricing using GMM with detailed examples and
chapter 10 with a discussion on the GRS test statistic. Chapter 11
goes even deeper with detailed discussions on stationarity;
autocorrelation detection and correction; and heteroscedasticity
detection, correction, and modeling, also including detailed
examples. The book concludes with chapters 12, 13, and 14 that
cover issues related with WRDS, CRSP, Compustat, and interest rate
database utilization.
Please visit my website and blog www.efficientminds.com for
up-to-date analysis of current events, educational material, and
consulting services.
General
| Imprint: |
Createspace Independent Publishing Platform
|
| Country of origin: |
United States |
| Release date: |
June 2010 |
| First published: |
June 2010 |
| Authors: |
David J. Moore Ph. D.
|
| Dimensions: |
254 x 203 x 5mm (L x W x T) |
| Format: |
Paperback - Trade
|
| Pages: |
98 |
| ISBN-13: |
978-1-4536-3363-2 |
| Categories: |
Books >
Business & Economics >
Economics >
Econometrics >
General
|
| LSN: |
1-4536-3363-4 |
| Barcode: |
9781453633632 |
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