The Econometrics of Financial Markets

Klappentext 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. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the random walk hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications. Zusammenfassung Covers the 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, and the term structure of interest rates, dynamic models of economic equilibrium. Inhaltsverzeichnis 7559180

Produktdetails

• Autoren: John W. Campbell, Andrew W. Lo, A. Craig Mackinlay, John Campbell, Andrew Lo, John Y. Campbell, John W Campbell, A. Craig MacKinley, Lo Andrew W., MacKinlay A. Craig, Campbell John Y.
• Verlag: Princeton University Press
• Inhalt: Buch
• Produktform: Fester Einband
• Erscheinungsdatum: 15.01.1996
• Thema: Schule und Lernen > Unterrichtsvorbereitung > Berufliche Bildung; Sozialwissenschaften, Recht,Wirtschaft > Wirtschaft > Allgemeines, Lexika
• EAN: 9780691043012
• ISBN: 978-0-691-04301-2
• Anzahl Seiten: 632
• Abmessung (Verpackung): 16.5 x 24.5 x 4 cm
• Themen: Parameter, Business & Economics / Investments & Securities / General, Pricing, Investment, investor, BUSINESS & ECONOMICS / Econometrics, arbitrage, market portfolio, Asset, Forecasting, Calculation, Event study, Generalized method of moments, probability, Financial Economics, Investment & securities, Econometrics, Investment and securities, Time Series, Regression Analysis, Econometrics and economic statistics, Uncertainty, Capital Asset Pricing Model, statistic, market price, standard deviation, Nonparametric statistics, Normal Distribution, stochastic process, linear regression, Approximation, Random Variable, Risk Aversion, inference, Variance, Estimation, Conditional expectation, share price, maximum likelihood estimation, statistical significance, Unit Root, Bid-ask spread, interest rate, Economic equilibrium, predictability, Estimator, Autocorrelation, Covariance Matrix, asymptotic distribution, Null Hypothesis, expected value, heteroscedasticity, rate of return, Summation, coefficient, Degrees of freedom (statistics), Price Change, Standard error, Real versus nominal value (economics), Likelihood function, Conditional probability distribution, Error term, Test statistic, Yield spread, Dividend, Discounts and allowances, Discrete time and continuous time, Instrumental variable, Yield curve, Forward rate, Stochastic discount factor, Sharpe Ratio, Likelihood-ratio test, Autoregressive conditional heteroskedasticity, Autocovariance, Compound Return