Empirical finance : for finance and banking / Robert Sollis.

Includes bibliographical references and index.

1. Introduction -- 1.1. What is Empirical Finance? How does it differ from Financial Econometrics? -- 1.2. What is the level of statistics and mathematics required? -- 1.3. What computer software is used for the empirical work? -- 1.4. Explain the lay-out of the book -- 1.5. Happy reading -- 1.6. References -- -- 2. Market Efficiency -- 2.1. Introduction -- 2.2. Elementary statistics -- 2.3. The efficient market hypothesis and the random walk model -- 2.4. Testing for efficiency I: runs test, variance ratio test, non-parametric tests -- 2.5. Testing for efficiency II: unit root tests -- 2.6. Testing for efficiency III: forecasting-based approaches -- 2.7. Bubbles -- 2.8. Market efficiency and spot-futures relationships -- -- 3. Technical Analysis -- 3.1. Introduction -- 3.2. Trends and waves -- 3.3. Mechanical technical trading rules -- 3.4. Testing market efficiency using technical analysis -- 3.5. Technical analysis of futures markets -- 3.6. The importance of bootstrapping -- 3.7. The danger of data-snooping -- -- 4. Asset Pricing Models -- 4.1. Introduction -- 4.2. The Market Model -- 4.3. The Capital Asset Pricing Model (CAPM) -- 4.4. The Consumption CAPM -- 4.5. Multifactor models -- -- 5. Volatility -- 5.1. Introduction -- 5.2. Univariate ARCH and GARCH models -- 5.3. Multivariate ARCH and GARCH models -- 5.4. Stochastic volatility models -- 5.4. Forecasting volatility -- -- 6. Behavioural Finance -- 6.1. Introduction -- 6.2. Calendar effects -- 6.3. Feedback trader models -- 6.4. Overconfidence, ambiguity and doubt -- 6.5. Herding and crowds -- 6.6. Momentum -- -- 7. Interest Rates -- 7.1. Introduction -- 7.2. No-arbitrage approach -- 7.3. Equilibrium continuous time interest rate models -- 7.4. Linear econometric models -- 7.5. Nonlinear econometric models -- -- 8. Credit Risk -- 8.1. Introduction -- 8.2. Types of credit available, measures of risk, level of analysis -- 8.3. Conceptual approaches to the valuation of default risk -- 8.4. Assessing default risk through structural models -- 8.5. Assessing default risk through reduced form models -- 8.6. Modelling default risk - the Logit model, the Probit model -- 8.7. Modelling default risk - the Hazard model -- -- 9. Exchange Rates -- 9.1. Introduction -- 9.2. Market efficiency and spot-futures exchange rate relationships -- 9.3. Monetary exchange rate models -- 9.4. Forecasting exchange rates I: monetary models -- 9.5. Forecasting exchange rates II: linear time series models -- 9.6. Forecasting exchange rates III: nonlinear and neural network models -- 9.7. Real exchange rates and the purchasing power parity hypothesis.

"The underlying theme of this book will be on how empirical analysis can be used in Finance to test financial theory, model policy implications, and to forecast for investment purposes, rather than focusing in detail on the statistical and mathematical theory behind the models used. Empirical examples will be used throughout as pedagogical devices."--Publisher description.

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