The Econometrics of Financial Markets (eBook)

John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay (Autoren)

eBook Download: EPUB

2012
632 Seiten
Princeton University Press (Verlag)
978-1-4008-3021-3 (ISBN)

Infos

A landmark book on quantitative methods in financial markets for graduate students and finance professionalsRecent 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.

Autor

John Y. Campbell is Otto Eckstein Professor of Applied Economics at Harvard University. Andrew W. Lo is Harris & Harris Group Professor of Finance at the Sloan School of Management, Massachusetts Institute of Technology. A. Craig MacKinlay is Joseph P. Wargrove Professor of Finance at the Wharton School, University of Pennsylvania.

Produkt-Details

• Erscheint lt. Verlag: 28.6.2012
• Verlagsort: Princeton
• Sprache: englisch
• Themenwelt: Sachbuch/Ratgeber ► Beruf / Finanzen / Recht / Wirtschaft ► Geld / Bank / Börse
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
• Schlagworte: Alternative hypothesis • Approximation • Arbitrage • arbitrage pricing theory • asset • Asymptotic Distribution • autocorrelation • autocovariance • Autoregressive conditional heteroskedasticity • Bid-ask spread • Calculation • Capital Asset Pricing Model • Cash Flow • coefficient • Compound Return • conditional expectation • Conditional probability distribution • Conditional variance • Consistent estimator • Covariance matrix • Degrees of freedom (statistics) • Discounts and allowances • Discrete time and continuous time • dividend • Dividend Yield • Economic equilibrium • Error Term • estimation • Estimator • Event Study • Excess Kurtosis • Expectations hypothesis • expected value • Finance • Financial asset • Financial Econometrics • Financial Economics • Fixed Income • Forecasting • Forward Rate • Generalized method of moments • Geometric Brownian motion • Heteroscedasticity • inference • instrumental variable • Interest Rate • Investment • Investor • Joint probability distribution • Likelihood Function • Likelihood-ratio test • linear regression • market capitalization • market liquidity • market portfolio • Market Price • maximum likelihood estimation • Nonparametric Statistics • Normal distribution • null hypothesis • Parameter • Predictability • price change • Pricing • Probability • Random Variable • Rate of return • Real versus nominal value (economics) • Regression Analysis • Risk Aversion • Risk Premium • Share Price • Sharpe Ratio • Short Rate • Special case • standard deviation • standard error • Statistic • Statistical Inference • statistical significance • stochastic discount factor • Stochastic process • Stock Market • Summation • Taylor series • test statistic • Time Series • Trade-off • Trading Strategy • transaction cost • treasury bill • Uncertainty • United States Treasury security • unit root • Valuation (finance) • Variable (mathematics) • Variance • Yield Curve • Yield spread • zero-coupon bond
• ISBN-10: 1-4008-3021-4 / 1400830214
• ISBN-13: 978-1-4008-3021-3 / 9781400830213