The Econometrics of Financial Markets / John Y. Campbell, A. Craig MacKinlay, Andrew W. Lo.

Format:

Book

Author/Creator:

Campbell, John Y., Author.

Lo, Andrew W., Author.

MacKinlay, A. Craig, Author.

Language:

English

Subjects (All):

Capital market--Econometric models.

Capital market.

Physical Description:

xviii, 611 p. : ill.

Place of Publication:

Princeton, NJ : Princeton University Press, [2012]

Language Note:

English

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.

Contents:

Frontmatter

Contents

List of Figures

List of Tables

Preface

The Econometrics of Financial Markets

1. Introduction

2. The Predictability of Asset Returns

3. Market Microstructure

4. Event-Study Analysis

5. The Capital Asset Pricing Model

6. Multifactor Pricing Models

7. Present-Value Relations

8. Intertemporal Equilibrium Models

9. Derivative Pricing Models

10. Fixed-Income Securities

11. Term-Structure Models

12. Nonlinearities in Financial Data

Appendix

References

Author Index

Subject Index

Notes:

Bibliographic Level Mode of Issuance: Monograph

Includes bibliographical references (p. 541-585) and indexes.

Description based on online resource; title from PDF title page (publisher's Web site, viewed 26. Nov 2019)

ISBN:

9781400830213

1400830214

OCLC:

1132689965