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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Bibliographic Details
Call Number:Libro Electrónico
Main Authors: Campbell, John Y. (Author), Lo, Andrew W. (Andrew Wen-Chuan) (Author), MacKinlay, Archie Craig, 1955- (Author)
Format: Electronic eBook
Language:Inglés
Published: Princeton, N.J. : Princeton University Press, ©1997.
Series:Book collections on Project MUSE.
Subjects:
Capital market > Econometric models.
Finance > Econometric models.
Marché financier > Modèles économétriques.
Finances > Modèles économétriques.
BUSINESS & ECONOMICS > Investments & Securities > General.
Capital market > Econometric models
Finance > Econometric models
Kreditmarkt
Ökonometrie
Ökonometrisches Modell
Portfolio-analyse.
Kapitaalmarkt.
Econometrische modellen.
Online Access:Texto completo
Table of 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.

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