The Econometrics of Financial Markets

Business & Finance, Finance & Investing, Investments & Securities
Cover of the book The Econometrics of Financial Markets by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay, Princeton University Press
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay ISBN: 9781400830213
Publisher: Princeton University Press Publication: June 28, 2012
Imprint: Princeton University Press Language: English
Author: John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay
ISBN: 9781400830213
Publisher: Princeton University Press
Publication: June 28, 2012
Imprint: Princeton University Press
Language: English

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.

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

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.

More books from Princeton University Press

Cover of the book The Poetics of Eros in Ancient Greece by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay
Cover of the book Peasants under Siege by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay
Cover of the book Striking First by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay
Cover of the book Metacommunity Ecology, Volume 59 by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay
Cover of the book The Bounds of Reason by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay
Cover of the book Ultimate Questions by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay
Cover of the book Alexander the Great and His Empire by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay
Cover of the book The Plum in the Golden Vase or, Chin P'ing Mei by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay
Cover of the book The Limits of Constitutional Democracy by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay
Cover of the book Economic Gangsters by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay
Cover of the book Collective Animal Behavior by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay
Cover of the book The 1970s by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay
Cover of the book The Correspondence of Henry D. Thoreau by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay
Cover of the book The Book of Revelation by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay
Cover of the book A History of the ‘Alawis by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy