Introductory Econometrics for Finance (R Guide)

What Does RStudio Look Like?......Page 7 Importing Data......Page 9 Data Description......Page 11 Changing and Creating Data......Page 12 Graphics and Plots......Page 13 Keeping Track of Your Work......Page 14 Linear Regression – Estimation of an Optimal Hedge Ratio......Page 16 Hypothesis Testing – Example 1: Hedging Revisited......Page 19 Hypothesis Testing – Example 2: The CAPM......Page 21 Sample Output for Multiple Hypothesis Tests......Page 25 Multiple Regression Using an APT-Style Model......Page 26 Stepwise Regression......Page 28 Quantile Regression......Page 31 Calculating Principal Components......Page 34 Testing for Heteroscedasticity......Page 36 Using White's Modified Standard Error Estimates......Page 37 The Newey–West Procedure for Estimating Standard Errors......Page 38 Autocorrelation and Dynamic Models......Page 39 Testing for Non-Normality......Page 40 Dummy Variable Construction and Application......Page 41 The RESET Test for Functional Form......Page 44 Stability Tests......Page 45 Recursive Estimation......Page 46 Estimating Autocorrelation Coefficients......Page 49 Using Information Criteria to Decide on Model Orders......Page 50 Forecasting Using ARMA Models......Page 53 Estimating Exponential Smoothing Models......Page 55 Simultaneous Equations Modelling......Page 56 Vector Autoregressive (VAR) Models......Page 60 Testing for Unit Roots......Page 66 Cointegration Tests and Modelling Cointegrated Systems......Page 68 The Johansen Test for Cointegration......Page 70 Estimating GARCH Models......Page 75 EGARCH and GJR Models......Page 76 GARCH-M Estimation......Page 78 Forecasting from GARCH Models......Page 80 Estimation of Multivariate GARCH Models......Page 81 Dummy Variables for Seasonality......Page 84 Estimating Markov Switching Models......Page 85 Panel Data Models......Page 88 Limited Dependent Variable Models......Page 93 Deriving Critical Values for a Dickey–Fuller Test Using Simulation......Page 99 Pricing Asian Options......Page 103 Extreme Value Theory......Page 106 The Hill Estimator for Extreme Value Distributions......Page 107 VaR Estimation Using Bootstrapping......Page 108 The Fama–MacBeth Procedure......Page 111 References......Page 113