Oliver Linton,
Oliver (University of Cambridge) Linton
Financial Econometrics
Models and Methods
Paperback Engels 2019 9781316630334Levertijd ongeveer 9 werkdagen
Gratis verzonden
Samenvatting
This is a thorough exploration of the models and methods of financial econometrics by one of the world's leading financial econometricians and is for students in 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 exercises and empirical examples have also been included to make sure complicated concepts are solidly explained and understood.
Specificaties
ISBN13:9781316630334
Taal:Engels
Bindwijze:Paperback
Aantal pagina's:572
Uitgever:Cambridge University Press
Lezersrecensies
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Inhoudsopgave
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.
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