Elements of Financial Econometrics

Informationen zum Autor Jianqing Fan is a statistician and financial econometrician. He is the current Frederick L. Moore '18 Professor of Finance and Professor of Statistics at Princeton University, New Jersey. His prizes include the Guggenheim Fellowship (2009), the Guy Medal in Silver (2014) and the COPSS Presidents' Award (2000). In 2012, he was elected Academician of Academia Sinica. He is a co-editor of the Journal of Econometrics and an associate editor of the Journal of the American Statistical Association. Klappentext A compact graduate textbook on financial econometrics, focusing on methodology and including real financial data illustrations throughout. Zusammenfassung A compact! master's-level textbook on financial econometrics! focusing on methodology and including real financial data illustrations throughout. The mathematical level is purposely kept moderate! allowing the power of the quantitative methods to be understood without too much technical detail. Inhaltsverzeichnis 1. Asset returns; 2. Linear time series models; 3. Heteroscedastic volatility models; 4. Multivariate time series analysis; 5. Efficient portfolios and capital asset pricing model; 6. Factor pricing models; 7. Portfolio allocation and risk assessment; 8. Consumption-based CAPM; 9. Present-value models; References; Author index; Subject index.

Product details

• Authors: Jianqing Fan, Jianqing (Princeton University Fan, Jianqing Yao Fan, Qiwei Yao, Qiwei (London School of Economics and Political Science) Yao
• Publisher: Cambridge University Press ELT
• Languages: English
• Product format: Hardback
• Released: 23.03.2017
• EAN: 9781107191174
• ISBN: 978-1-107-19117-4
• No. of pages: 392
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Miscellaneous; Social sciences, law, business > Business > General, dictionaries