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Analysis of Financial Data

January 2006, ©2006
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Description

Analysis of Financial Data teaches basic methods and techniques of data analysis to finance students.  It covers many of the major tools used by the financial economist i.e. regression and time series methods including discussion of nonstationary models, multivariate concepts such as cointegration and models of conditional volatility.   It shows students how to apply such techniques in the context of real-world empirical problems.  It adopts a largely non-mathematical approach relying on verbal and graphical intuition and contains extensive use of real data examples and involves readers in hands-on computer work.

Analysis of Financial Data has been adapted by Gary Koop from his highly successful textbook Analysis of Economic Data.

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Table of Contents

Preface.

Chapter 1: Introduction.

Organization of the book.

Useful background.

Appendix 1.1: Concepts in mathematics used in this book.

Chapter 2: Basic data handling.

Types of financial data.

Obtaining data.

Working with data: graphical methods.

Working with data: descriptive statistics.

Expected values and variances.

Chapter summary.

Appendix 2.1: Index numbers.

Appendix 2.2: Advanced descriptive statistics.

Chapter 3: Correlation.

Understanding correlation.

Understanding why variables are correlated.

Understanding correlation through XY-plots.

Correlation between several variables.

Covariances and population correlations.

Chapter summary.

Appendix 3.1: Mathematical details.

Chapter 4: An introduction to simple regression.

Regression as a best fitting line.

Interpreting OLS estimates.

Fitted values and R<sup>2</sup>: measuring the fit of a regression model.

Nonlinearity in regression.

Chapter summary.

Appendix 4.1: Mathematical details.

Chapter 5: Statistical aspects of regression.

Which factors affect the accuracy of the estimate &beta;?

Calculating a confidence interval for &beta;.

Testing whether &beta; = 0.

Hypothesis testing involving R<sup>2</sup>: the F-statistic.

Chapter summary.

Appendix 5.1: Using statistical tables for testing whether &beta; = 0.

Chapter 6: Multiple regression.

Regression as a best fitting line.

Ordinary least squares estimation of the multiple regression model.

Statistical aspects of multiple regression.

Interpreting OLS estimates.

Pitfalls of using simple regression in a multiple regression context.

Omitted variables bias.

Multicollinearity.

Chapter summary.

Appendix 6.1: Mathematical interpretation of regression coefficients.

Chapter 7: Regression with dummy variables.

Simple regression with a dummy variable.

Multiple regression with dummy variables.

Multiple regression with both dummy and non-dummy explanatory variables.

Interacting dummy and non-dummy variables.

What if the dependent variable is a dummy?

Chapter summary.

Chapter 8: Regression with lagged explanatory variables.

Aside on lagged variables.

Aside on notation.

Selection of lag order.

Chapter summary.

Chapter 9: Univariate time series analysis.

The autocorrelation function.

The autoregressive model for univariate time series.

Nonstationary versus stationary time series.

Extensions of the AR(1) model.

Testing in the AR( p) with deterministic trend model.

Chapter summary.

Appendix 9.1: Mathematical intuition for the AR(1) model.

Chapter 10: Regression with time series variables.

Time series regression when X and Y are stationary.

Time series regression when Y and X have unit roots: spurious regression.

Time series regression when Y and X have unit roots: cointegration.

Time series regression when Y and X are cointegrated: the error correction model.

Time series regression when Y and X have unit roots but are not cointegrated.

Chapter summary.

Chapter 11: Regression with time series variables with several equations.

Granger causality.

Vector autoregressions.

Chapter summary.

Appendix 11.1: Hypothesis tests involving more than one coefficient.

Appendix 11.2: Variance decompositions.

Chapter 12: Financial volatility.

Volatility in asset prices: Introduction.

Autoregressive conditional heteroskedasticity (ARCH).

Chapter summary.

Appendix A: Writing an empirical project.

Description of a typical empirical project.

General considerations.

Appendix B: Data directory.

Index.

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Author Information

Gary Koop is Professor of Economics at the University of Strathclyde.
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The Wiley Advantage

  • Gary Koop has a very high international profile in the field of econometrics and is well known for his books and numerous journal publications.
  • A level of mathematical technique suited to MBA students and undergraduates who are taking a first course in the topic
  • Covers many of the major tools used by the financial economist (i.e. regression and time series methods) and includes discussions of non-stationary models multivariate concepts.
  • Includes numerous examples of finance applications e.g. data on a cross-section of companies will be used to investigate the effect of capital structure on stock market performance.
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Purchase Options
Wiley E-Text   
Analysis of Financial Data
ISBN : 978-0-470-06303-3
250 pages
September 2010, ©2010
$42.50   BUY

E-book   
Analysis of Financial Data
ISBN : 978-0-470-03229-9
250 pages
February 2006, ©2006
$50.00   BUY

Paperback   
Analysis of Financial Data
ISBN : 978-0-470-01321-2
252 pages
January 2006, ©2006
$74.95   BUY

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