Verwandte Artikel zu The Econometrics of Financial Markets

The Econometrics of Financial Markets - Hardcover

Campbell, John Y.; Lo, Andrew W.; Mackinlay, Archie Craig

 
9780691043012: The Econometrics of Financial Markets
Hardcover
ISBN 10: 0691043019 ISBN 13: 9780691043012
Verlag: Princeton University Press, 1996

Inhaltsangabe

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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Über die Autorin bzw. den Autor

John Y. Campbell is the Morton L. and Carole S. Olshan Professor of Economics at Harvard University. He is the author of Financial Decisions and Markets (Princeton) and the coauthor of Strategic Asset Allocation. Andrew W. Lo is the Charles E. and Susan T. Harris Professor at the MIT Sloan School of Management, director of the MIT Laboratory for Financial Engineering, and an external faculty member at the Santa Fe Institute. His books include Adaptive Markets and Hedge Funds (both Princeton). A. Craig MacKinlay is the Joseph P. Wargrove Professor of Finance at the Wharton School, University of Pennsylvania, where he is also an academic director at the Jacobs Levy Equity Management Center for Quantitative Financial Research. MacKinlay and Lo are the authors of A Non-Random Walk Down Wall Street (Princeton).

Von der hinteren Coverseite

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.

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Verlag
Princeton University Press
Erscheinungsdatum
1996
Sprache
Englisch
ISBN 10 
0691043019
ISBN 13 
9780691043012
Einband
Gebundene Ausgabe
Auflage
2
Anzahl der Seiten
611
Kontakt zum Hersteller
Princeton University Press
https://press.princeton.edu/books

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