{"product_id":"applied-econometrics-a-simple-introduction-paperback","title":"Applied Econometrics: A Simple Introduction - Paperback","description":"\u003cp\u003eby \u003cb\u003eK. H. Erickson\u003c\/b\u003e (Author)\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003eApplied Econometrics: A Simple Introduction offers a detailed guide to some of the central methods and applications of applied econometrics, with theory, models, calculations, and graphs to support analysis.\u003c\/p\u003e\u003cbr\u003e\u003cp\u003eS\u0026amp;P 500 equities, GSCI commodities, and US Treasury Bill risk-free rate datasets are assessed for their data distributions, autocorrelation, and stationarity. The Engle-Granger 2 step method, Johansen test and the Vector Error Correction Model test for and correct cointegration.\u003c\/p\u003e\u003cbr\u003e\u003cp\u003eARMA models determine the optimal AR and MA processes to model returns data, and GARCH models assess the optimal p and q number of lags to model variance, using the Akaike Information Criterion. Alternative GARCH versions are examined.\u003c\/p\u003e\u003cbr\u003e\u003cp\u003eDynamic portfolio strategies are evaluated using Sharpe Ratio portfolio performance evaluation tools, with a focus on the 2007-8 global financial crisis period. Static portfolio strategies are assessed using ARMA return and GARCH variance forecasting. Results are used alongside established financial literature to assess the optimal portfolio strategy.\u003c\/p\u003e\u003cdiv\u003e\n\u003cstrong\u003eNumber of Pages:\u003c\/strong\u003e 102\u003c\/div\u003e\u003cdiv\u003e\n\u003cstrong\u003eDimensions:\u003c\/strong\u003e 0.21 x 8 x 5.25 IN\u003c\/div\u003e\u003cdiv\u003e\n\u003cstrong\u003ePublication Date:\u003c\/strong\u003e September 23, 2015\u003c\/div\u003e","brand":"Books by splitShops","offers":[{"title":"Default Title","offer_id":42716319088703,"sku":"9781515065388","price":16.52,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0105\/8226\/1823\/files\/b933f9cedd8e448b20f33c6d23ac064d.webp?v=1765074501","url":"https:\/\/dhl-adrianne.myshopify.com\/products\/applied-econometrics-a-simple-introduction-paperback","provider":"BBB","version":"1.0","type":"link"}