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The Econometrics of Financial Markets /
"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 regu...
| Autores principales: | , , |
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| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Princeton, N.J. :
Princeton University Press,
1997.
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| Colección: | Book collections on Project MUSE.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 005 | 20230905050658.0 | ||
| 006 | m o d | ||
| 007 | cr||||||||nn|n | ||
| 008 | 960530s1997 nju o 00 0 eng d | ||
| 020 | |a 9781400830213 | ||
| 020 | |z 9780691043012 | ||
| 035 | |a (OCoLC)1132689965 | ||
| 040 | |a MdBmJHUP |c MdBmJHUP | ||
| 100 | 1 | |a Campbell, John Y., |e author. | |
| 245 | 1 | 4 | |a The Econometrics of Financial Markets / |c John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay. |
| 264 | 1 | |a Princeton, N.J. : |b Princeton University Press, |c 1997. | |
| 264 | 3 | |a Baltimore, Md. : |b Project MUSE, |c 2020 | |
| 264 | 4 | |c ©1997. | |
| 300 | |a 1 online resource: |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 505 | 0 | |a 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. | |
| 520 | |a "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. | ||
| 588 | |a Description based on print version record. | ||
| 650 | 7 | |a Marche financier |x Modeles econometriques. |2 ram | |
| 650 | 1 | 7 | |a Econometrische modellen. |2 gtt |
| 650 | 1 | 7 | |a Kapitaalmarkt. |2 gtt |
| 650 | 1 | 7 | |a Portfolio-analyse. |2 gtt |
| 650 | 7 | |a Ökonometrisches Modell |2 gnd | |
| 650 | 7 | |a Ökonometrie |2 gnd | |
| 650 | 7 | |a Kreditmarkt |2 gnd | |
| 650 | 7 | |a Finance |x Econometric models. |2 fast |0 (OCoLC)fst00924377 | |
| 650 | 7 | |a Capital market |x Econometric models. |2 fast |0 (OCoLC)fst00846359 | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x General. |2 bisacsh | |
| 650 | 6 | |a Finances |x Modeles econometriques. | |
| 650 | 6 | |a Marche financier |x Modeles econometriques. | |
| 650 | 0 | |a Finance |x Econometric models. | |
| 650 | 0 | |a Capital market |x Econometric models. | |
| 655 | 7 | |a Electronic books. |2 local | |
| 700 | 1 | |a MacKinlay, Archie Craig, |d 1955- |e author. | |
| 700 | 1 | |a Lo, Andrew W. |q (Andrew Wen-Chuan), |e author. | |
| 710 | 2 | |a Project Muse. |e distributor | |
| 830 | 0 | |a Book collections on Project MUSE. | |
| 856 | 4 | 0 | |z Texto completo |u https://projectmuse.uam.elogim.com/book/64879/ |
| 945 | |a Project MUSE - Custom Collection | ||
| 945 | |a Project MUSE - Archive Complete Supplement VIII | ||
| 945 | |a Project MUSE - Archive Political Science and Policy Studies Supplement VIII | ||