October 2021
Intermediate to advanced
296 pages
10h 42m
English
Content preview from Panel Methods for Finance
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To Marcella
Preface
Financial data are typically characterised by a time-series dimension and a cross-sectional dimension. For example, we may observe financial information on a group of firms over a number of years, or we may observe returns of all stocks traded at the New York Stock Exchange (NYSE) over a period of 120 months. Accordingly, econometric modelling in finance requires appropriate attention to these two – and occasionally more than two – dimensions of the data. Panel data techniques are developed to do exactly this. This book provides an overview of commonly applied panel methods for financial applications, with a focus on cases where the cross-sectional dimension is large (and the time-series dimension may be limited).
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