The econometrics of financial markets / John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay.

Format:

Book

Author/Creator:

Campbell, John Y., author.

Lo, Andrew W. (Andrew Wen-Chuan), author.

MacKinlay, Archie Craig, 1955- author.

Series:

Book collections on Project MUSE.

Language:

English

Subjects (All):

Capital market--Econometric models.

Capital market.

Finance--Econometric models.

Finance.

Genre:

Electronic books.

Physical Description:

1 online resource (xviii, 611 pages) : illustrations

Place of Publication:

Princeton, N.J. : Princeton University Press, [1997]

System Details:

text file

Summary:

"The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended 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 new 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 read into their own applications."--Publisher's description.

Contents:

The predictability of asset returns

Market microstructure

Event-study analysis

The capital asset pricing model

Multifactor pricing models

Present-value relations

Intertemporal equilibrium models

Derivative pricing models

Fixed-income securities

Term-structure models

Nonlinearities in financial data

Linear instrumental variables

Generalized method of moments

Serially correlated and heteroskedastic errors

GMM and maximum likelihood.

Notes:

Includes bibliographical references and indexes.

Other Format:

Print version: Campbell, John Y. Econometrics of financial markets.

ISBN:

9781400830213

1400830214

0691043019

9780691043012

OCLC:

802047919

Publisher Number:

10.2307/j.ctt7skm5

9780691043012

Access Restriction:

Restricted for use by site license.