The econometrics of financial markets:
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Princeton, New Jersey
Princeton University Press
1997
|
| Ausgabe: | Second printing, with corrections |
| Schlagworte: | |
| Online-Zugang: | Klappentext Inhaltsverzeichnis |
| Beschreibung: | Ergänzung bildet: A solution manual to the econometrics of financial markets |
| Beschreibung: | XVIII, 611 Seiten Diagramme |
| ISBN: | 9780691043012 0691043019 |
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| 250 | |a Second printing, with corrections | ||
| 264 | 1 | |a Princeton, New Jersey |b Princeton University Press |c 1997 | |
| 300 | |a XVIII, 611 Seiten |b Diagramme | ||
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| 500 | |a Ergänzung bildet: A solution manual to the econometrics of financial markets | ||
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| 650 | 4 | |a Finančni trg - Ekonometrični modeli - Učbeniki za visoke šole | |
| 650 | 7 | |a Finančni trg - Mikrostruktura - Učbeniki za visoke šole |2 ssg | |
| 650 | 7 | |a Trg kapitala - Finančni instrumenti - Matematične metode - Učbeniki za visoke šole |2 ssg | |
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| adam_text | _
Econometrics
of
Markets
John Y. Campbell
Andrew W.
A. Craig MacKinlay
The past twenty years have seen an extraor¬
dinary growth in the use of quantitative
methods in financial markets. Finance pro¬
fessionals now routinely use sophisticated
statistical techniques in portfolio manage¬
ment, 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 econo¬
metrics of financial modeling. The book
covers the entire spectrum of empirical fi¬
nance, including the predictability of asset
returns, tests of the random walk hypothesis,
the
event analysis, the Capital Asset Pricing
Model and the Arbitrage Pricing Theory, the
term structure of interest rates, dynamic
models of economic equilibrium, and non¬
linear 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
indudes
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.
John Y. Campbell is Otto Eckstein Professor of
Applied Economics at Harvard University.
Andrew W.
of Finance at the Sloan School of Management,
Massachusetts Institute of Technology.
A. Craig MacKinlay is Joseph P. Wargrove
Professor of Finance at the Wharton School,
University of Pennsylvania.
Jacket design by
Jacket illustration: Courtesy of Visual Numerics
Contents
list of Figures
list of Tables
Preface
1
1.1
1.2
1.2.1
1.2.2
1.2.3
1.3
1.4
1.4.1
1.4.2
of Returns
1.5
1.5.1
Expectations
1.5.2
2
2.1
2.1.1
2.1.2
2.1.3
2.2
2.2.1
2.2.2
viii Contents
2.3
2.3.1
2.3.2
2.4
2.4.1
2.4.2
2.4.3
2.5
2.5.1
2.6
2.6.1
2.6.2
2.7
2.8
2.8.1
2.8.2
2.8.3
2.8.4
2.9
3
3.1
3.1.1
3.1.2
3.2
3.2.1
3.2.2
3.3
3.3.1
3.3.2
3.3.3
3.4
3.4.1
3.4.2
3.4.3
3.5
4
4.1
4.2
4.3
4.3.1
4.3.2
Contents
4.3.3
4.3.4
4.4
4.4.1
4.4.2
4.4.3
4.4.4
4.4.5
4.4.6
4.5
4.6
4.7
4.8
4.9
4.9.1
4.9.2
4.9.3
4.10
5
5.1
5.2
5.3
5.3.1
5.3.2
5.4
5.5
5.6 Nonnormal
5.7
5.7.1
5.7.2
5.7.3
5.8
5.9
6
6.1
6.2
6.2.1
6.2.2
6.2.3
6.2.4
Frontier
x
6.3
6.4
6.4.1
6.4.2
6.4.3
6.5
6.6
6.6.1
ysis, and the Optimal Orthogonal Portfolio
6.6.2
6.6.3
6.7
7
7.1
7.1.1
Expected Returns
7.1.2
7.1.3
Varying Expected Returns
7.1.4
7.2
7.2.1
7.2.2
7.2.3
7.3
8
8.1
8.1.1
8.2
8.2.1
8.2.2
Moments
8.3
8.3.1
Bounds
8.3.2
Data
8.4
8.4.1
8.4.2
8.5
Contents xi
9 Derivative
9.1
9.1.1 Constructing Brownian Motion........... 341
9.1.2 Stochastic Differential
9.2
9.2.1 The Black-Scholes
9.2.2
9.3
9.3.1
9.3.2
9.3.3
Estimators
9.3.4
9.3.5
9.3.6
9.4
ulation
9.4.1
9.4.2
9.4.3
9.4.4
9.4.5
9.5
10
10.1
10.1.1
10.1.2
10.1.3
10.2
10.2.1
10.2.2
10.3
11
11.1
11.1.1
11.1.2
11.1.3
11.1.4
11.2
11.2.1
11.2.2
xii Contents
11.3
11.3.1
11.3.2
11.3.3
11.4
12
12.1
12.1.1
12.1.2
12.2
12.2.1
12.2.2
12.2.3
12.3
12.3.1
12.3.2
12.3.3
12.3.4
12.4
12.4.1
12.4.2
12.4.3
12.4.4
12.4.5
12.5
12.6
Appendix
A.1 Linear Instrumental Variables
A.2 Generalized Method of Moments
A.3 Serially Correlated and Heteroskedastic Errors
A.4 GMM and Maximum Likelihood
References
Author Index
Subject Index
|
| any_adam_object | 1 |
| author | Campbell, John Y. 1958- Lo, Andrew W. 1960- MacKinlay, Archie Craig 1955- |
| author_GND | (DE-588)124799906 (DE-588)124791433 (DE-588)124791476 |
| author_facet | Campbell, John Y. 1958- Lo, Andrew W. 1960- MacKinlay, Archie Craig 1955- |
| author_role | aut aut aut |
| author_sort | Campbell, John Y. 1958- |
| author_variant | j y c jy jyc a w l aw awl a c m ac acm |
| building | Verbundindex |
| bvnumber | BV012188582 |
| callnumber-first | H - Social Science |
| callnumber-label | HG4523 |
| callnumber-raw | HG4523.C27 1997 |
| callnumber-search | HG4523.C27 1997 |
| callnumber-sort | HG 44523 C27 41997 |
| callnumber-subject | HG - Finance |
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| classification_tum | WIR 175f |
| ctrlnum | (OCoLC)440073973 (DE-599)BVBBV012188582 |
| dewey-full | 332/.0941420 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332/.09414 20 |
| dewey-search | 332/.09414 20 |
| dewey-sort | 3332 49414 220 |
| dewey-tens | 330 - Economics |
| discipline | Agrar-/Forst-/Ernährungs-/Haushaltswissenschaft / Gartenbau Wirtschaftswissenschaften |
| edition | Second printing, with corrections |
| format | Book |
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| id | DE-604.BV012188582 |
| illustrated | Not Illustrated |
| indexdate | 2024-08-01T11:27:01Z |
| institution | BVB |
| isbn | 9780691043012 0691043019 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008260290 |
| oclc_num | 440073973 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-384 DE-92 DE-945 DE-N2 DE-19 DE-BY-UBM DE-473 DE-BY-UBG DE-91 DE-BY-TUM DE-858 DE-1049 DE-634 DE-11 DE-188 DE-862 DE-BY-FWS DE-521 |
| owner_facet | DE-355 DE-BY-UBR DE-384 DE-92 DE-945 DE-N2 DE-19 DE-BY-UBM DE-473 DE-BY-UBG DE-91 DE-BY-TUM DE-858 DE-1049 DE-634 DE-11 DE-188 DE-862 DE-BY-FWS DE-521 |
| physical | XVIII, 611 Seiten Diagramme |
| publishDate | 1997 |
| publishDateSearch | 1997 |
| publishDateSort | 1997 |
| publisher | Princeton University Press |
| record_format | marc |
| spellingShingle | Campbell, John Y. 1958- Lo, Andrew W. 1960- MacKinlay, Archie Craig 1955- The econometrics of financial markets Ekonometrija - Multivariantna analiza - Ravnovesje - Učbeniki za visoke šole Ekonometrija - Vrednostni papirji - Stohastični procesi - Učbeniki za visoke šole Finančni trg - Ekonometrični modeli - Učbeniki za visoke šole Finančni trg - Mikrostruktura - Učbeniki za visoke šole ssg Trg kapitala - Finančni instrumenti - Matematične metode - Učbeniki za visoke šole ssg Verjetnost - Slučajni sprehodi - Derivativi - Učbeniki za visoke šole Verjetnost - Trg vrednostnih papirjev - Prelivanje - Učbeniki za visoke šole Vrednostni papirji - Kvantitativne metode - Investicijski skladi - Učbeniki za visoke šole Vrednostni papirji - Matematični modeli - Kapitalsko povezovanje - Učbeniki za visoke šole Ökonometrisches Modell Capital market -- Econometric models Ökonometrisches Modell (DE-588)4043212-9 gnd Ökonometrie (DE-588)4132280-0 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| subject_GND | (DE-588)4043212-9 (DE-588)4132280-0 (DE-588)4073788-3 |
| 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 | Ekonometrija - Multivariantna analiza - Ravnovesje - Učbeniki za visoke šole Ekonometrija - Vrednostni papirji - Stohastični procesi - Učbeniki za visoke šole Finančni trg - Ekonometrični modeli - Učbeniki za visoke šole Finančni trg - Mikrostruktura - Učbeniki za visoke šole ssg Trg kapitala - Finančni instrumenti - Matematične metode - Učbeniki za visoke šole ssg Verjetnost - Slučajni sprehodi - Derivativi - Učbeniki za visoke šole Verjetnost - Trg vrednostnih papirjev - Prelivanje - Učbeniki za visoke šole Vrednostni papirji - Kvantitativne metode - Investicijski skladi - Učbeniki za visoke šole Vrednostni papirji - Matematični modeli - Kapitalsko povezovanje - Učbeniki za visoke šole Ökonometrisches Modell Capital market -- Econometric models Ökonometrisches Modell (DE-588)4043212-9 gnd Ökonometrie (DE-588)4132280-0 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| topic_facet | Ekonometrija - Multivariantna analiza - Ravnovesje - Učbeniki za visoke šole Ekonometrija - Vrednostni papirji - Stohastični procesi - Učbeniki za visoke šole Finančni trg - Ekonometrični modeli - Učbeniki za visoke šole Finančni trg - Mikrostruktura - Učbeniki za visoke šole Trg kapitala - Finančni instrumenti - Matematične metode - Učbeniki za visoke šole Verjetnost - Slučajni sprehodi - Derivativi - Učbeniki za visoke šole Verjetnost - Trg vrednostnih papirjev - Prelivanje - Učbeniki za visoke šole Vrednostni papirji - Kvantitativne metode - Investicijski skladi - Učbeniki za visoke šole Vrednostni papirji - Matematični modeli - Kapitalsko povezovanje - Učbeniki za visoke šole Ökonometrisches Modell Capital market -- Econometric models Ökonometrie Kreditmarkt |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008260290&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008260290&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT campbelljohny theeconometricsoffinancialmarkets AT loandreww theeconometricsoffinancialmarkets AT mackinlayarchiecraig theeconometricsoffinancialmarkets |
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