A course on statistics for finance. (2018)

• Record Type: Book
• Further Information: Note: Stanley L. Sclove.
• Other Names: Sclove, Stanley L
• Contents: INTRODUCTORY CONCEPTS AND DEFINITIONS; Review of Basic Statistics; What Is Statistics?; Characterizing Data; Measures of Central Tendency; Measures of Variability; Higher Moments; Summarizing Distributions; Bivariate Data; Three Variables; Two-Way Tables Stock Price Series and Rates of Return; Introduction; Sharpe Ratio; Value-at-Risk; Distributions for RORs Several Stocks and Their Rates of Return; Introduction; Review of Covariance and Correlation; Two Stocks; Three Stocks; m Stocks REGRESSION; Simple Linear Regression; CAPM and Beta; Introduction; Simple Linear Regression; Estimation; Inference Concerning the Slope; Testing Equality of Slopes of Two Lines through the Origin; Linear Parametric Functions; Variances Dependent upon X ; A Financial Application: CAPM and "Beta"; Slope and Intercept Multiple Regression and Market Models; Multiple Regression Models; Market Models; Models with Both Numerical and Dummy Explanatory Variables; Model Building PORTFOLIO ANALYSIS; Mean-Variance Portfolio Analysis; Introduction; Two Stocks; Three Stocks; m Stocks; m Stocks and a Risk-Free Asset; Value-at-Risk; Selling Short; Market Models and Beta Utility-Based Portfolio Analysis; Introduction; Single-Criterion Analysis TIME SERIES ANALYSIS; Introduction to Time Series Analysis; Introduction; Control Charts; Moving Averages; Need for Modeling; Trend, Seasonality, and Randomness; Models with Lagged Variables; Moving-Average Models; Identification of ARIMA Models; Seasonal Data; Dynamic Regression Models; Simultaneous Equations Models Regime Switching Models; Introduction; Bull and Bear Markets Appendix A: Vectors and Matrices; Appendix B: Normal Distributions; Appendix C: Lagrange Multipliers; Appendix D: Abbreviations and Symbols Index A Summary, Exercises, and Bibliography appear at the end of each chapter.
• Publisher Details: Place of publication not identified : Chapman and Hall/CRC
• Publication Date: 2018
• Extent: 1 online resource (269 pages), (4 illustrations)
• Subjects: 332.015195; Finance -- Statistical methods; Investment analysis -- Statistical methods
• Languages: English
• ISBNs: 9781315360478; 1315360470
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.