Quantitative Methods for Finance Reading List PDF

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Quantitative Methods for Finance: Reading List

Introductory Reading Core Reading Brooks, C. (2014). Introductory Econometrics for Finance, Third edition. Cambridge University Press, Cambridge. Recommended Reading Greene, W. H. (2012), Econometric Analysis, Seventh Edition, Prentice Hall Additional Reading Gujarati, D. N. (2009). Basic Econometrics, Fifth Edition, Editor: McGraw-Hill Education. Woodridge, J (2014) Introductory Econometrics: A Modern Approach, fourth edition. Cengage Learning.

Week 1 Core Reading Brooks, C. (2014). Introductory Econometrics for Finance, third edition. Cambridge University Press, Cambridge, Ch. 1- 5. Recommended Reading Jensen, M. (1968). The performance of mutual funds in the period 1945-1964. Journal of Finance, 23, 389-416. Week 2 Core Reading Brooks, C. (2014). Introductory Econometrics for Finance, third edition. Cambridge University Press, Cambridge, Ch. 4 Recommended Reading Hasanhodzic, J. & Lo, A. (2007). Can Hedge-Fund Returns be Replicated?: The Linear Case. Journal of Investment Management, 5, 5-45 Week 3 Core Reading Brooks, C. (2014). Introductory Econometrics for Finance, third edition. Cambridge University Press, Cambridge, Ch. 5.

Recommended Reading Cantor, R. and F. Packer (1996). Determinants and impact of sovereign credit ratings. Federal Reserve Bank of New York Research Paper. Hendry, D. and G.E. Mizon (1978). Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England. The Economic Journal, 88, 549-563. Week 4 Core Reading Brooks, C. (2014). Introductory Econometrics for Finance, third edition. Cambridge University Press, Cambridge, Ch. 6 and Ch. 8. Recommended Reading Gatev, E., W. N. Goetzmann and K. G. Rouwenhorst (2006). Pairs Trading: Performance of a Relative-Value Arbitrage Rule. Review of Financial Studies, 19, 797 -827. Schmidt, A. D. (2008). Pairs Trading: A Cointegration Approach. Dickey, D.A. and W.A. Fuller (1979). Distribution of Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74, 427-431. Diebold, F.X. (2007). Elements of Forecasting. Thomson, Mason, Ch. 8, 11, 12. Fuller, W.A. (1976). Introduction to Statistical Time Series. Wiley, New York. Gerlow, M.E., Irwin, S.H. and T.-R. Liu (1993). Economic Evaluation of Commodity Price Forecasting Models. International Journal of Forecasting, 9, 387-397. Granger, C.W.J. and P. Newbold (1986). Forecasting Economic Time Series. Academic Press, San Diego. Additional Reading Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Y. Shin (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54, 159-178.

Week 5 Core Reading Brooks, C. (2014). Introductory Econometrics for Finance, third edition. Cambridge University Press, Cambridge, Ch. 9 and Ch. 12. Recommended Reading Iona, A. Leonida, L and Ozkan A. (2004). Determinants of Financial Conservatism: Evidence from Low-leverage and Cash-rich UK Firms. Economic Department discussion paper series, University of York. Hansen, P.R. and Lunde, A. (2005). Forecast Comparison of Volatility Models: Does Anythingbeat a GARCH(1,1)? Journal of Applied Econometrics 20:873 –889. Week 6 Core Reading Brooks, C. (2014). Introductory Econometrics for Finance, third edition. Cambridge University Press, Cambridge, Ch. 11. Recommended Reading de Haas, R. and I. van Lelyveld (2006). Foreign banks and credit stability in Central and Eastern Europe. A panel data analysis. Journal of Banking & Finance, 30, 1927-1952. Matthews, K., Murinde, V. and T. Zhao (2007). Competitive conditions among the major British banks. Journal of Banking & Finance, 31, 2025-2042. Panzar, J.C. and J.N. Rosse (1982). Structure, Conduct and Comparative Statistics. Bell Laboratories Economic Discussion Paper 248. Panzar, J.C. and J.N. Rosse (1987). Testing for monopoly equilibrium. Journal of Industrial Economics, 25, 443-456. Zellner, A. (1962). An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias. Journal of the American Statistical Association, 57, 348368....