(eBook PDF) The Econometrics of Financial Markets 2nd ed. Edition – Digital Ebook – Instant Delivery Download
Product details:
- ISBN-10 : 0691043019
- ISBN-13 : 978-0691043012
- Author: John Y. Campbell Andrew W. Lo , A. Craig MacKinlay, Andrew Y. Lo
The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory.
Table contents:
1 Introduction
2 The Predictability of Asset Returns
3 Market Microstructure
4 Event-Study Analysis
5 The Capital Asset Pricing Model
6 Multifactor Pricing Models
7 Present-Value Relations
8 Intertemporal Equilibrium Models
9 Derivative Pricing Models
10 Fixed-Income Securities
11 TermStructure Models
12 Nonlinearities in Financial Data
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