Synopsis
The content of this book was initially assembled during my Ph.D. studies at the University of Tennessee as a means to keep track of lessons learned applying statistical analysis to finance and economic problems. Quite often I encountered scenarios where available documentation was limited, nonexistent, or was inadequately explained. It is my hope that this book fills in gaps in understanding for you as it has for me. The first eight chapters of this book provide some of the fundamental statistical analyses (i.e., converting low-frequency data to high-frequency data and performing univariate statistics). From there more in-depth statistical analysis is covered in chapter nine which includes a discussion of asset pricing using GMM with detailed examples and chapter 10 with a discussion on the GRS test statistic. Chapter 11 goes even deeper with detailed discussions on stationarity; autocorrelation detection and correction; and heteroscedasticity detection, correction, and modeling, also including detailed examples. The book concludes with chapters 12, 13, and 14 that cover issues related with WRDS, CRSP, Compustat, and interest rate database utilization.
Please visit my website and blog www.efficientminds.com for up-to-date analysis of current events, educational material, and consulting services.
About the Author
Dr. David Moore's passion for mathematics and science was discovered at an early age, propelling him to excel quickly through high school, graduating at the age of 14 and earning a Bachelor's of Science in Electrical Engineering (B.S.E.E.) from Purdue University at 19. Upon graduation, he joined Motorola's System and Space Technology Group in Scottsdale, Arizona, as a design engineer, helping to develop imaging satellites. While there, he also continued his education at Arizona State University, obtaining a Master of Business Administration (MBA) degree. After working at Motorola for several years, Dr. Moore set his sights on the home of high-tech innovation in Silicon Valley (Santa Clara) California. There, he had a successful career at numerous start-up semiconductor companies as a field and product marketing engineer. One of the startup companies where Dr. Moore worked, AANetcom, was acquired in March 2000 by PMC-Sierra for $890 million dollars. Unfortunately Dr. Moore, like many others, ignored his MBA and delayed pressing the "sell" button falsely believing in the "New Economy." An expensive lesson indeed. After surviving the rise and fall of the dot-com era, Dr. Moore decided to change course and follow a calling to higher education. Dr. Moore returned to college to obtain a Ph.D. in Finance at The University of Tennessee in Knoxville. His first year as a professor at the University of Memphis has been a rewarding one, allowing Dr. Moore to craft and practice a simple philosophy of instruction: to help students achieve success in the classroom and in life by sharing his academic, professional, and personal experiences. Dr. Moore teaches and conducts research in the areas of investments, corporate finance, and financial institutions in addition to providing consulting services through his company Efficient Minds(tm). In addition to finance Dr. Moore enjoys the great outdoors and physical activities/sports. His hobbies include skiing, weight lifting, basketball, bicycling, motorcycling and travelling. During his travels, he has visited Canada, Brazil, Mexico, Taiwan, Hong Kong, England, Spain, and Thailand. While in Spain, he explored his daring side and joined in the time honored tradition of running with the bulls---twice. Luckily, he escaped unscathed. On a visit to Thailand, he tamed the semi-savage beast as he rode an elephant through rubber tree forests and laughed in the face of danger while kayaking during tropical storms.
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