Financial econometrics:
Linton, Oliver
Financial econometrics: models and methods - UK Cambridge University Press 2020 - xxvii, 555 p.
Frontmatter
1 - Introduction and Background
pp 1-54
2 - Econometric Background
pp 55-74
3 - Return Predictability and the Efficient Markets Hypothesis
pp 75-133
4 - Robust Tests and Tests of Nonlinear Predictability of Returns
pp 134-151
5 - Empirical Market Microstructure
pp 152-200
6 - Event Study Analysis
pp 201-237
7 - Portfolio Choice and Testing the Capital Asset Pricing Model
pp 238-278
8 - Multifactor Pricing Models
pp 279-313
9 - Present Value Relations
pp 314-336
10 - Intertemporal Equilibrium Pricing
pp 337-357
11 - Volatility
pp 358-421
12 - Continuous Time Processes
pp 422-462
13 - Yield Curve
pp 463-475
14 - Risk Management and Tail Estimation
pp 476-496
15 - Exercises and Complements
pp 497-523
16 - Appendix
pp 524-532
Bibliography
pp 533-552
Index
pp 553-556
Description
This is a thorough exploration of the models and methods of financial econometrics by one of the world's leading financial econometricians and is for students in economics, finance, statistics, mathematics, and engineering who are interested in financial applications. Based on courses taught around the world, the up-to-date content covers developments in econometrics and finance over the last twenty years while ensuring a solid grounding in the fundamental principles of the field. Care has been taken to link theory and application to provide real-world context for students. Worked exercises and empirical examples have also been included to make sure complicated concepts are solidly explained and understood.
9781316630334
Finance--Mathematical models
Finance--Statistical methods
Stochastic processes
Econometrics
Finance--Econometric models
332.015195 / LIN
Financial econometrics: models and methods - UK Cambridge University Press 2020 - xxvii, 555 p.
Frontmatter
1 - Introduction and Background
pp 1-54
2 - Econometric Background
pp 55-74
3 - Return Predictability and the Efficient Markets Hypothesis
pp 75-133
4 - Robust Tests and Tests of Nonlinear Predictability of Returns
pp 134-151
5 - Empirical Market Microstructure
pp 152-200
6 - Event Study Analysis
pp 201-237
7 - Portfolio Choice and Testing the Capital Asset Pricing Model
pp 238-278
8 - Multifactor Pricing Models
pp 279-313
9 - Present Value Relations
pp 314-336
10 - Intertemporal Equilibrium Pricing
pp 337-357
11 - Volatility
pp 358-421
12 - Continuous Time Processes
pp 422-462
13 - Yield Curve
pp 463-475
14 - Risk Management and Tail Estimation
pp 476-496
15 - Exercises and Complements
pp 497-523
16 - Appendix
pp 524-532
Bibliography
pp 533-552
Index
pp 553-556
Description
This is a thorough exploration of the models and methods of financial econometrics by one of the world's leading financial econometricians and is for students in economics, finance, statistics, mathematics, and engineering who are interested in financial applications. Based on courses taught around the world, the up-to-date content covers developments in econometrics and finance over the last twenty years while ensuring a solid grounding in the fundamental principles of the field. Care has been taken to link theory and application to provide real-world context for students. Worked exercises and empirical examples have also been included to make sure complicated concepts are solidly explained and understood.
9781316630334
Finance--Mathematical models
Finance--Statistical methods
Stochastic processes
Econometrics
Finance--Econometric models
332.015195 / LIN