000 02276nam a22002417a 4500
999 _c3536
_d3536
005 20221205125711.0
008 221205b ||||| |||| 00| 0 eng d
020 _a9781316630334
082 _a332.015195
_bLIN
100 _aLinton, Oliver
_94815
245 _aFinancial econometrics:
_bmodels and methods
260 _bCambridge University Press
_aUK
_c2020
300 _axxvii, 555 p.
365 _aGBP
_b45.99
504 _aFrontmatter 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
520 _aDescription 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.
650 _aFinance--Mathematical models
_9180
650 _aFinance--Statistical methods
_98437
650 _aStochastic processes
_9814
650 _aEconometrics
_9845
650 _aFinance--Econometric models
_91870
942 _2ddc
_cBK