TAILIEUCHUNG - Lecture Introductory Econometrics for Finance: Chapter 13 - Chris Brooks

In this chapter, you will learn how to: Design simulation frameworks to solve a variety of problems in finance, explain the difference between pure simulation and bootstrapping, describe the various techniques available for reducing Monte Carlo sampling variability, implement a simulation analysis in EViews. | ‘Introductory Econometrics for Finance’ © Chris Brooks 2013 Chapter 13 Simulation Methods ‘Introductory Econometrics for Finance’ © Chris Brooks 2013 Simulation Methods in Econometrics and Finance The Monte Carlo Method This technique is often used in econometrics when the properties of a particular estimation method are not known. Examples from econometrics include: Quantifying the simultaneous equations bias induced by treating an endogenous variable as exogenous. Determining the appropriate critical values for a Dickey-Fuller test. Determining what effect heteroscedasticity has upon the size and power of a test for autocorrelation. Simulations are also often extremely useful tools in finance, in situations such as: The pricing of exotic options, where an analytical pricing formula is unavailable. Determining the effect on financial markets of substantial changes in the macroeconomic environment. “Stress-testing” risk management models to determine whether they generate

• Kinh tế học
• Econometrics for Finance
• Introductory Econometrics for Finance
• Regression model
• Purpose of econometrics
• Simulation methods
• Random number generation
• Econometric model
• Financial modelling
• Straight lines
• Statistical foundations
• Classical linear regression model
• Regression analysis
• Multiple linear regression
• Statistical distributions
• Univariate time series modelling
• Stochastic processes
• Multivariate models
• Simultaneous equations models
• Modelling long run relationship
• Stochastic non stationarity
• Modelling volatility
• GARCH models
• Switching models
• Switching behaviour
• Panel data
• Fixed effects models
• Limited dependent variable models
• Linear probability model
• Empirical research project
• Research project
• Financial data