TY  - BOOK
AU  - Linton,Oliver B.
TI  - Financial econometrics : models and methods
SN  - 9781316630334
U1  - 332.015195 
PY  - 2019///
CY  - Cambridge : 
PB  - Cambridge University Press, 
KW  - Finance -- Statistical methods.
KW  - Finance -- Econometric models.
KW  - Finance -- Mathematical models
N1  - 
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
N2  - "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."
ER  -