Contents
Financial Econometrics at Work
Applications of Financial Econometrics to Investment Management
Regression Model: Linear Functional Relationship between Two Variables
Distributional Assumptions of the Regression Model
Estimating the Regression Model
Linear Regression of a Nonlinear Relationship
The Multiple Linear Regression Model
Assumptions of the Multiple Linear Regression Model
Estimation of the Model Parameters
Diagnostic Check and Model Significance
Building and Testing a Multiple Linear Regression Model
The Problem of Multicollinearity
Testing the Assumptions of the Multiple Linear Regression Model
Introduction to Time Series Analysis
Representation of Time Series with Difference Equations
Application: The Price Process
Regression Models with Categorical Variables
Independent Categorical Variables
Dependent Categorical Variables
Limitations of Classical Regression Analysis
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