Python Guide for Introductory Econometrics for Finance

Cover Copyright information Contents List of Figures List of Tables 1 Getting started 1.1 What is Python? 1.2 Different ways to run Python code 1.3 What does a Jupyter NoteBook look like? 1.4 Getting help 2 Data management in Python 2.1 Variables and name rules 2.2 Whitespace 2.3 Comments 2.4 Mathematical operations 2.5 Two libraries: Pandas and NumPy 2.6 Data input and saving 2.7 Data description and calculation 2.8 An example: calculating summary statistics for house prices 2.9 Plots 2.10 Saving data and results 3 Simple linear regression - estimation of an optimal hedge ratio 4 Hypothesis testing - Example 1: hedging revisited 5 Estimation and hypothesis testing - Example 2: the CAPM 6 Sample output for multiple hypothesis tests 7 Multiple regression using an APT-style model 7.1 Stepwise regression 8 Quantile regression 9 Calculating principal components 10 Diagnostic testing 10.1 Testing for heteroscedasticity 10.2 Using White's modified standard error estimates 10.3 The Newey-West procedure for estimating standard errors 10.4 Autocorrelation and dynamic models 10.5 Testing for non-normality 10.6 Dummy variable construction and use 10.7 Multicollinearity 10.8 The RESET test for functional form 10.9 Stability tests 11 Constructing ARMA models 12 Forecasting using ARMA models 13 Estimating exponential smoothing models 14 Simultaneous equations modelling 15 The Generalised method of moments for instrumental variables 16 VAR estimation 17 Testing for unit roots 18 Cointegration tests and modelling cointegrated systems 19 Volatility modelling 19.1 Testing for 'ARCH effects' in exchange rate returns 19.2 Estimating GARCH models 19.3 GJR and EGARCH models 19.4 Forecasting from GARCH models 20 Modelling seasonality in financial data 20.1 Dummy variables for seasonality 20.2 Estimating Markov switching models 21 Panel data models 22 Limited dependent variable models 23 Simulation methods 23.1 Deriving critical values for a Dickey-Fuller test using simulation 23.2 Pricing Asian options 23.3 VaR estimation using bootstrapping 24 The Fama-MacBeth procedure 25 Using extreme value theory for VaR calculation References