MARC details
| 000 -LEADER |
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| fixed length control field |
02076nam a22002177a 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20220304164735.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
220304b ||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780691043012 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
332.0414 |
| Item number |
CAM |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Campbell, John Y. |
| 245 ## - TITLE STATEMENT |
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| Title |
The econometrics of financial markets |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Name of publisher, distributor, etc. |
Princeton University Press |
| Place of publication, distribution, etc. |
New Jersey |
| Date of publication, distribution, etc. |
1997 |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
xviii, 611 p. |
| 365 ## - TRADE PRICE |
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| Price type code |
USD |
| Price amount |
125.00 |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc. |
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.<br/><br/><br/>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.<br/><br/> |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Capital market--Econometric models |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Finance--Econometric models |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Lo, Andrew W. |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
MacKinlay, A. Craig |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Book |