Financial Econometrics, Mathematics and Statistics: Theory, Method and Application
暫譯: 金融計量經濟學、數學與統計：理論、方法與應用

Lee, Cheng-Few, Chen, Hong-Yi, Lee, John

Financial Econometrics, Mathematics and Statistics: Theory, Method and Application
  • 出版商: Springer
  • 出版日期: 2019-06-04
  • 售價: $7,920
  • 貴賓價: 9.5 折 $7,524
  • 語言: 英文
  • 頁數: 655
  • 裝訂: Hardcover - also called cloth, retail trade, or trade
  • ISBN: 1493994271
  • ISBN-13: 9781493994274
  • 相關分類: 機率統計學 Probability-and-statistics

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商品描述

This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics introduces tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting financial accounting research.

Divided into four parts, the text begins with topics related to regression and financial econometrics. Subsequent sections describe time-series analyses; the role of binomial, multi-nomial, and log normal distributions in option pricing models; and the application of statistics analyses to risk management. The real-world applications and problems offer students a unique insight into such topics as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments.

Written by leading academics in the quantitative finance field, allows readers to implement the principles behind financial econometrics and statistics through real-world applications and problem sets. This textbook will appeal to a less-served market of upper-undergraduate and graduate students in finance, economics, and statistics. ​

商品描述(中文翻譯)

這本嚴謹的教科書向研究生介紹計量經濟學和統計學的原則，重點在於金融研究中的方法和應用。《金融計量經濟學、數學與統計》介紹了對金融和會計都很重要的工具和方法，這些工具和方法有助於資產定價、企業財務、選擇權和期貨，以及進行財務會計研究。

本書分為四個部分，首先探討與迴歸和金融計量經濟學相關的主題。隨後的章節描述了時間序列分析；二項式、多項式和對數常態分佈在選擇權定價模型中的角色；以及統計分析在風險管理中的應用。現實世界的應用和問題為學生提供了對異方差性、迴歸、同時方程模型、面板數據分析、時間序列分析和廣義矩方法等主題的獨特見解。

本書由量化金融領域的領先學者撰寫，讓讀者能夠通過現實世界的應用和問題集來實施金融計量經濟學和統計學背後的原則。這本教科書將吸引在金融、經濟學和統計學領域的高年級本科生和研究生這個較少被服務的市場。

作者簡介

Cheng-Few Lee is a Distinguished Professor of Finance at Rutgers Business School, where he once served as chairperson of the Department. He has maintained academic and consulting ties in Taiwan, Hong Kong, China and the United States for the past three decades and has been a consultant to many prominent groups including the American Insurance Group, the World Bank, and the United Nations. Lee founded the Review of Quantitative Finance and Accounting in 1990 and the Review of Pacific Basin Financial Markets and Policies in 1998, and continues to serve as managing editor for both journals. He was also a co-editor of the Financial Review (1985-1991) and the Quarterly Review of Economics and Business (1987-1989). Having published more than 200 articles in more than twenty different journals in finance, accounting, economics, statistics, and management, Lee has been ranked the most published finance professor worldwide during 1953-2008.

Hong-Yi Chen is Assistant Professor at the NCCU College of Commerce. His research expertise is in investments, asset pricing, and corporate finance. He has co-authored several papers in journals such as Springer's Review of Quantitative Finance and Accounting, as well as Elsevier's Journal of Corporate Finance.

John C. Lee is Director of the Center for PBBEF Research. A Microsoft Certified Professional in Microsoft Visual Basic and Microsoft Excel VBA, he has a Bachelors and Masters degree in accounting from the University of Illinois at Urbana-Champaign. Lee has worked over 20 years in both the business and technical fields as an accountant, auditor, systems analyst, as well as a business software developer. Formerly, the Senior Technology Officer at the Chase Manhattan Bank and Assistant Vice President at Merrill Lynch, he is also the author of the book on how to use MINITAB and Microsoft Excel to do statistical analysis. In addition, he also published Financial Analysis, Planning and Forecasting with Cheng-Few Lee and Alice Lee.


作者簡介(中文翻譯)

李承富是羅格斯商學院的金融特聘教授，曾擔任該系的系主任。在過去三十年中，他在台灣、香港、中國和美國保持著學術和顧問的聯繫，並曾為許多知名機構提供顧問服務，包括美國保險集團、世界銀行和聯合國。李教授於1990年創辦了定量金融與會計評論，並於1998年創辦了太平洋盆地金融市場與政策評論，並持續擔任這兩本期刊的主編。他還曾擔任金融評論（1985-1991）和經濟與商業季刊（1987-1989）的共同編輯。李教授在金融、會計、經濟、統計和管理等二十多個不同的期刊上發表了超過200篇文章，並在1953年至2008年間被評為全球發表文章最多的金融教授。

陳宏毅是國立政治大學商學院的助理教授。他的研究專長包括投資、資產定價和企業金融。他曾與他人共同撰寫多篇論文，發表於Springer的定量金融與會計評論以及Elsevier的企業金融期刊。

李約翰是PBBEF研究中心的主任。他是微軟認證專業人士，專精於Microsoft Visual Basic和Microsoft Excel VBA，並擁有伊利諾伊大學香檳分校的會計學學士和碩士學位。李約翰在商業和技術領域擔任會計師、審計師、系統分析師以及商業軟體開發者，已有超過20年的工作經驗。曾任摩根大通銀行的高級技術官和美林證券的助理副總裁，他也是一本關於如何使用MINITAB和Microsoft Excel進行統計分析的書籍的作者。此外，他還與李承富和李愛麗共同出版了財務分析、規劃與預測。

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