Financial econometrics : models and methods
Material type: TextPublication details: Cambridge : Cambridge University Press, 2019Description: xxvii, 555 pagesISBN: 9781316630334; 1316630331; 9781107177154Subject(s): Finance -- Statistical methods | Finance -- Econometric models | Finance -- Mathematical modelsDDC classification: 332.015195Item type | Current library | Collection | Call number | Status | Date due | Barcode | Item holds |
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Reference Books | Main Library Reference | Reference | 332.015195 LIN (Browse shelf(Opens below)) | Available | 016010 |
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332.015195 BOR Financial and actuarial statistics : an introduction | 332.015195 BRO Introductory econometrics for finance / | 332.015195 BRO Introductory econometrics for finance / | 332.015195 LIN Financial econometrics : models and methods | 332.024 KAP Personal Finance | 332.024 KAP Personal finance | 332.02401 FIS The ten roads to riches : the ways the wealthy get there (and how you can, too) |
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
"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."
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