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 regulation...
Gespeichert in:
| Hauptverfasser: | , , |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Princeton, NJ]
Princeton University Press
28.06.2012
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| Schlagworte: | |
| Online-Zugang: | EUV01 UER01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | Description from publishers Web site |
| Beschreibung: | 1 Online-Ressource (xviii, 611 Seiten) Diagramme |
| ISBN: | 9781400830213 |
| DOI: | 10.1515/9781400830213 |
Internformat
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| 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 | ||
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Datensatz im Suchindex
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| author | Campbell, John Y. 1958- Lo, Andrew W. 1960- MacKinlay, Archie Craig 1955- |
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| doi_str_mv | 10.1515/9781400830213 |
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| id | DE-604.BV046285736 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T08:40:35Z |
| institution | BVB |
| isbn | 9781400830213 |
| language | English |
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| physical | 1 Online-Ressource (xviii, 611 Seiten) Diagramme |
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| publishDate | 2012 |
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| publisher | Princeton University Press |
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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 and A. Craig MacKinlay [Princeton, NJ] Princeton University Press 28.06.2012 © 1997 1 Online-Ressource (xviii, 611 Seiten) Diagramme txt rdacontent c rdamedia cr rdacarrier Description from publishers Web site 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 1997 BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Capital market Econometric models Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Ökonometrie (DE-588)4132280-0 s 1\p DE-604 Ökonometrisches Modell (DE-588)4043212-9 s 2\p DE-604 Lo, Andrew W. 1960- Verfasser (DE-588)124791433 aut MacKinlay, Archie Craig 1955- Verfasser (DE-588)124791476 aut Reproduktion von Campbell, John Y., 1958- The econometrics of financial markets Second printing, with corrections Princeton, New Jersey : Princeton University Press, 1997 978-0-691-04301-2 (DE-604)BV012188582 https://doi.org/10.1515/9781400830213 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Campbell, John Y. 1958- Lo, Andrew W. 1960- MacKinlay, Archie Craig 1955- The econometrics of financial markets BUSINESS & ECONOMICS / Investments & Securities / General bisacsh 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 and A. Craig MacKinlay |
| title_fullStr | The econometrics of financial markets John Y. Campbell, Andrew W. Lo and A. Craig MacKinlay |
| title_full_unstemmed | The econometrics of financial markets John Y. Campbell, Andrew W. Lo and A. Craig MacKinlay |
| title_short | The econometrics of financial markets |
| title_sort | the econometrics of financial markets |
| topic | BUSINESS & ECONOMICS / Investments & Securities / General bisacsh 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 | BUSINESS & ECONOMICS / Investments & Securities / General Capital market Econometric models Ökonometrisches Modell Ökonometrie Kreditmarkt |
| url | https://doi.org/10.1515/9781400830213 |
| work_keys_str_mv | AT campbelljohny theeconometricsoffinancialmarkets AT loandreww theeconometricsoffinancialmarkets AT mackinlayarchiecraig theeconometricsoffinancialmarkets |