The Econometrics of Financial Markets
eBook - ePub

The Econometrics of Financial Markets

  1. 632 pages
  2. English
  3. ePUB (mobile friendly)
  4. Available on iOS & Android
eBook - ePub

The Econometrics of Financial Markets

About this book

A landmark book on quantitative methods in financial markets for graduate students and finance professionals

Recent decades have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is designed 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 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 learned into their own applications.

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Yes, you can access The Econometrics of Financial Markets by John Y. Campbell,Andrew W. Lo,A. Craig MacKinlay in PDF and/or ePUB format, as well as other popular books in Business & Investments & Securities. We have over one million books available in our catalogue for you to explore.

Table of contents

  1. Cover
  2. Half title
  3. Title
  4. Copyright
  5. Contents
  6. List of Figures
  7. List of Tables
  8. Preface
  9. 1 Introduction
  10. 2 The Predictability of Asset Returns
  11. 3 Market Microstructure
  12. 4 Event-Study Analysis
  13. 5 The Capital Asset Pricing Model
  14. 6 Multifactor Pricing Models
  15. 7 Present-Value Relations
  16. 8 Intertemporal Equilibrium Models
  17. 9 Derivative Pricing Models
  18. 10 Fixed-Income Securities
  19. 11 Term-Structure Models
  20. 12 Nonlinearities in Financial Data
  21. Appendix
  22. References
  23. Author Index
  24. Subject Index