{"product_id":"2940152370737","title":"Applied Econometrics: A Simple Introduction","description":"\u003cp\u003eApplied Econometrics: A Simple Introduction offers a detailed guide to some of the central methods and applications of applied econometrics, with theory, models, calculations, and graphs to support analysis.\u003c\/p\u003e\u003cp\u003eS\u0026amp;P 500 equities, GSCI commodities, and US Treasury Bill risk-free rate datasets are assessed for their data distributions, autocorrelation, and stationarity. The Engle-Granger 2 step method, Johansen test and the Vector Error Correction Model test for and correct cointegration.\u003c\/p\u003e\u003cp\u003eARMA models determine the optimal AR and MA processes to model returns data, and GARCH models assess the optimal p and q number of lags to model variance, using the Akaike Information Criterion. Alternative GARCH versions are examined.\u003c\/p\u003e\u003cp\u003eDynamic portfolio strategies are evaluated using Sharpe Ratio portfolio performance evaluation tools, with a focus on the 2007-8 global financial crisis period. Static portfolio strategies are assessed using ARMA return and GARCH variance forecasting. Results are used alongside established financial literature to assess the optimal portfolio strategy.\u003c\/p\u003e","brand":"K.H. Erickson","offers":[{"title":"Default Title","offer_id":47113267511536,"sku":"2940152370737","price":6.99,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0737\/7593\/9824\/files\/2940152370737_p0.jpg?v=1764020608","url":"https:\/\/shop-qa.barnesandnoble.com\/products\/2940152370737","provider":"Barnes \u0026 Noble (DEV)","version":"1.0","type":"link"}