Financial econometrics : models and methods (Record no. 44787)
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000 -LEADER | |
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fixed length control field | 01898nam a22002057a 4500 |
020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
ISBN | 9781316630334 |
020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
ISBN | 1316630331 |
020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
ISBN | 9781107177154 |
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER | |
Classification number | 332.015195 |
Item number | LIN |
100 ## - MAIN ENTRY--AUTHOR NAME | |
Personal name | Linton,Oliver B. |
245 ## - TITLE STATEMENT | |
Title | Financial econometrics : models and methods |
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
Place of publication | Cambridge : |
Name of publisher | Cambridge University Press, |
Year of publication | 2019. |
300 ## - PHYSICAL DESCRIPTION | |
Number of Pages | xxvii, 555 pages ; |
505 ## - FORMATTED CONTENTS NOTE | |
Formatted contents note | <br/>1. Introduction and background --<br/>2. Econometric background --<br/>3. Return predictability and the efficient markets hypothesis --<br/>4. Robust tests and tests of nonlinear predictability of returns --<br/>5. Empirical market microstructure --<br/>6. Event study analysis --<br/>7. Portfolio choice and testing the capital asset pricing model --<br/>8. Multifactor pricing models --<br/>9. Present value relations --10. Intertemporal equilibrium pricing --<br/>11. Volatility --<br/>12. Continuous time processes --<br/>13. Yield curve --<br/>14. Risk management and tail estimation --<br/>15. Exercises and complements --<br/>16. Appendix |
520 ## - SUMMARY, ETC. | |
Summary, etc | "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 exercises and empirical examples have also been included to make sure complicated concepts are solidly explained and understood." |
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical Term | Finance -- Statistical methods. |
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical Term | Finance -- Econometric models. |
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical Term | Finance -- Mathematical models. |
942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
Koha item type | Reference Books |
Collection code | Home library | Current library | Shelving location | Date acquired | Source of acquisition | Cost, normal purchase price | Full call number | Accession Number | Koha item type |
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Reference | Main Library | Main Library | Reference | 12/03/2020 | Purchase | 9552.88 | 332.015195 LIN | 016010 | Reference Books |