The Econometrics of Financial Markets /

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"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...

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Detalles Bibliográficos
Autores principales: Campbell, John Y. (Autor), MacKinlay, Archie Craig, 1955- (Autor), Lo, Andrew W. (Andrew Wen-Chuan) (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Princeton, N.J. : Princeton University Press, 1997.
Colección:Book collections on Project MUSE.
Temas:
Marche financier > Modeles econometriques.
Econometrische modellen.
Kapitaalmarkt.
Portfolio-analyse.
Ökonometrisches Modell
Ökonometrie
Kreditmarkt
Finance > Econometric models.
Capital market > Econometric models.
BUSINESS & ECONOMICS > Investments & Securities > General.
Finances > Modeles econometriques.
Electronic books.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

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