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

Product details

• Authors: John Campbell, John W Campbell, John W. Campbell, John Y. Campbell, Campbell John Y., Andrew Lo, Andrew W. Lo, Lo Andrew W., A. Craig MacKinlay, MacKinlay A. Craig, A. Craig MacKinley
• Publisher: Princeton University Press
• Languages: English
• Product format: Hardback
• Released: 15.01.1996
• EAN: 9780691043012
• ISBN: 978-0-691-04301-2
• No. of pages: 632
• Dimensions: 165 mm x 245 mm x 40 mm
• Subjects: Education and learning > Teaching preparation > Vocational needs; Social sciences, law, business > Business > General, dictionaries; Business & Economics / Investments & Securities / General, BUSINESS & ECONOMICS / Econometrics, Investment & securities, Econometrics, Investment and securities, Econometrics and economic statistics