000			02076nam a22002177a 4500
999			_c1729 _d1729
005			20220304164735.0
008			220304b ||||| |||| 00| 0 eng d
020			_a9780691043012
082			_a332.0414 _bCAM
100			_aCampbell, John Y. _94649
245			_aThe econometrics of financial markets
260			_bPrinceton University Press _aNew Jersey _c1997
300			_axviii, 611 p.
365			_aUSD _b125.00
520			_aThe 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.
650			_aCapital market--Econometric models _95820
650			_aFinance--Econometric models _91870
700			_aLo, Andrew W. _95821
700			_aMacKinlay, A. Craig _95822
942			_2ddc _cBK