The econometrics of financial markets:
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 hypothe...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Princeton, NJ
Princeton Univ. Press
1997
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| Schlagworte: | |
| Zusammenfassung: | 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 |
| Beschreibung: | Erg. bildet: A solution manual to the econometrics of financial markets |
| Beschreibung: | XVIII, 611 S. Ill., graph. Darst. |
| ISBN: | 0691043019 9780691043012 |
Internformat
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| 300 | |a XVIII, 611 S. |b Ill., graph. Darst. | ||
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| 500 | |a Erg. bildet: A solution manual to the econometrics of financial markets | ||
| 520 | 3 | |a 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 | |
| 520 | |a 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 | ||
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| id | DE-604.BV011305735 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:07:29Z |
| institution | BVB |
| isbn | 0691043019 9780691043012 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007593608 |
| oclc_num | 34906229 |
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| physical | XVIII, 611 S. Ill., graph. Darst. |
| publishDate | 1997 |
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| spelling | Campbell, John Y. 1958- Verfasser (DE-588)124799906 aut The econometrics of financial markets John Y. Campbell ; Andrew W. Lo ; A. Craig MacKinlay Princeton, NJ Princeton Univ. Press 1997 XVIII, 611 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Erg. bildet: A solution manual to the econometrics of financial markets 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 Econometrische modellen gtt Kapitaalmarkt gtt Marché financier - Modèles économétriques Portfolio-analyse gtt Ökonometrisches Modell Capital market Econometric models Ökonometrie (DE-588)4132280-0 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Ökonometrisches Modell (DE-588)4043212-9 s DE-604 Ökonometrie (DE-588)4132280-0 s DE-188 Lo, Andrew W. 1960- Verfasser (DE-588)124791433 aut MacKinlay, Archie Craig 1955- Verfasser (DE-588)124791476 aut |
| spellingShingle | Campbell, John Y. 1958- Lo, Andrew W. 1960- MacKinlay, Archie Craig 1955- The econometrics of financial markets Econometrische modellen gtt Kapitaalmarkt gtt Marché financier - Modèles économétriques Portfolio-analyse gtt Ökonometrisches Modell Capital market Econometric models Ökonometrie (DE-588)4132280-0 gnd Kreditmarkt (DE-588)4073788-3 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| subject_GND | (DE-588)4132280-0 (DE-588)4073788-3 (DE-588)4043212-9 |
| title | The econometrics of financial markets |
| title_auth | The econometrics of financial markets |
| title_exact_search | The econometrics of financial markets |
| title_full | The econometrics of financial markets John Y. Campbell ; Andrew W. Lo ; A. Craig MacKinlay |
| title_fullStr | The econometrics of financial markets John Y. Campbell ; Andrew W. Lo ; A. Craig MacKinlay |
| title_full_unstemmed | The econometrics of financial markets John Y. Campbell ; Andrew W. Lo ; A. Craig MacKinlay |
| title_short | The econometrics of financial markets |
| title_sort | the econometrics of financial markets |
| topic | Econometrische modellen gtt Kapitaalmarkt gtt Marché financier - Modèles économétriques Portfolio-analyse gtt Ökonometrisches Modell Capital market Econometric models Ökonometrie (DE-588)4132280-0 gnd Kreditmarkt (DE-588)4073788-3 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| topic_facet | Econometrische modellen Kapitaalmarkt Marché financier - Modèles économétriques Portfolio-analyse Ökonometrisches Modell Capital market Econometric models Ökonometrie Kreditmarkt |
| work_keys_str_mv | AT campbelljohny theeconometricsoffinancialmarkets AT loandreww theeconometricsoffinancialmarkets AT mackinlayarchiecraig theeconometricsoffinancialmarkets |