Name: The Econometrics of Financial Markets (en Inglés)
Price: 106.36 USD
Availability: InStock
Author: John Y. Campbell; Andrew W. Lo; A. Craig Mackinlay; Andrew Y. Lo
ISBN: 9780691043012

portada The Econometrics of Financial Markets (en Inglés)

The Econometrics of Financial Markets (en Inglés)

Formato

Libro Físico

Editorial

Princeton University Press

Autor

John Y. Campbell; Andrew W. Lo; A. Craig Mackinlay; Andrew Y. Lo

Año

1996

Idioma

Inglés

N° páginas

632

Encuadernación

Tapa Dura

Peso

ISBN

0691043019

ISBN13

9780691043012

N° edición

Categorías

Finanzas

The Econometrics of Financial Markets (en Inglés)

John Y. Campbell; Andrew W. Lo; A. Craig Mackinlay; Andrew Y. Lo (Autor) · Princeton University Press · Tapa Dura

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Reseña del libro "The Econometrics of Financial Markets (en Inglés)"

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.