You are here

A Course on Statistics for Finance

Stanley L. Sclove
Publisher: 
Chapman & Hall/CRC
Publication Date: 
2013
Number of Pages: 
251
Format: 
Hardcover
Price: 
89.95
ISBN: 
9781439892541
Category: 
Textbook
We do not plan to review this book.

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

Dummy View - NOT TO BE DELETED