Screen LibraryFinancial econometrics : models and methods /
"This thorough exploration of the models and methods of financial econometrics is written by one of the world's leading financial econometricians, and is for students of economics, finance, statistics, mathematics, and engineering who are interested in financial applications. Based on cour...
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| Main Authors: | |
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| Published: |
Cambridge University Press,
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| Publisher Address: | Cambridge : |
| Publication Dates: | 2019. |
| Literature type: | Book |
| Language: | English |
| Subjects: | |
| Summary: |
"This thorough exploration of the models and methods of financial econometrics is written by one of the world's leading financial econometricians, and is for students of economics, finance, statistics, mathematics, and engineering who are interested in financial applications. Based on courses taught around the world, the up-to-date content covers developments in econometrics and finance over the last twenty years while ensuring a solid grounding in the fundamental principles of the field. Care has been taken to link theory and application to provide real-world context for students, worked ex |
| Carrier Form: | xxvii, 555 pages : illustrations ; 25 cm |
| Bibliography: | Includes bibliographical references (pages 533-552) and index. |
| ISBN: |
9781107177154 1107177154 9781316630334 1316630331 |
| Index Number: | HG106 |
| CLC: |
F224.0 F830 |
| Call Number: | F830/L761 |
| Contents: | 1. Introduction and background -- 2. Econometric background -- 3. Return predictability and the efficient markets hypothesis -- 4. Robust tests and tests of nonlinear predictability of returns -- 5. Empirical market microstructure -- 6. Event study analysis -- 7. Portfolio choice and testing the capital asset pricing model -- 8. Multifactor pricing models -- 9. Present value relations --10. Intertemporal equilibrium pricing -- 11. Volatility -- 12. Continuous time processes -- 13. Yield curve -- 14. Risk management and tail estimation -- 15. Exercises and complements -- 16. Appendix |