The Econometrics Of Financial Markets
Download The Econometrics Of Financial Markets full books in PDF, epub, and Kindle. Read online free The Econometrics Of Financial Markets ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads.
Author |
: John Y. Campbell |
Publisher |
: Princeton University Press |
Total Pages |
: 630 |
Release |
: 2012-06-28 |
ISBN-10 |
: 9781400830213 |
ISBN-13 |
: 1400830214 |
Rating |
: 4/5 (13 Downloads) |
Synopsis The Econometrics of Financial Markets by : John Y. Campbell
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.
Author |
: John Y. Campbell |
Publisher |
: Princeton University Press |
Total Pages |
: 632 |
Release |
: 1997 |
ISBN-10 |
: 9780691043012 |
ISBN-13 |
: 0691043019 |
Rating |
: 4/5 (12 Downloads) |
Synopsis The Econometrics of Financial Markets by : John Y. Campbell
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.
Author |
: Oliver Linton |
Publisher |
: Cambridge University Press |
Total Pages |
: 585 |
Release |
: 2019-02-21 |
ISBN-10 |
: 9781107177154 |
ISBN-13 |
: 1107177154 |
Rating |
: 4/5 (54 Downloads) |
Synopsis Financial Econometrics by : Oliver Linton
Presents an up-to-date treatment of the models and methodologies of financial econometrics by one of the world's leading financial econometricians.
Author |
: Chris Brooks |
Publisher |
: Cambridge University Press |
Total Pages |
: 752 |
Release |
: 2008-05-22 |
ISBN-10 |
: 9781139472302 |
ISBN-13 |
: 1139472305 |
Rating |
: 4/5 (02 Downloads) |
Synopsis Introductory Econometrics for Finance by : Chris Brooks
This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. Key features: • Thoroughly revised and updated, including two new chapters on panel data and limited dependent variable models • Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models • Detailed examples and case studies from finance show students how techniques are applied in real research • Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results • Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice • Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods • Thoroughly class-tested in leading finance schools. Bundle with EViews student version 6 available. Please contact us for more details.
Author |
: John Y. Campbell |
Publisher |
: |
Total Pages |
: 0 |
Release |
: 2007 |
ISBN-10 |
: 8122421695 |
ISBN-13 |
: 9788122421699 |
Rating |
: 4/5 (95 Downloads) |
Synopsis The Econometrics of Financial Markets by : John Y. Campbell
Author |
: Nikolaus Hautsch |
Publisher |
: Springer Science & Business Media |
Total Pages |
: 381 |
Release |
: 2011-10-12 |
ISBN-10 |
: 9783642219252 |
ISBN-13 |
: 364221925X |
Rating |
: 4/5 (52 Downloads) |
Synopsis Econometrics of Financial High-Frequency Data by : Nikolaus Hautsch
The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.
Author |
: Jianqing Fan |
Publisher |
: Cambridge University Press |
Total Pages |
: 394 |
Release |
: 2017-03-23 |
ISBN-10 |
: 9781107191174 |
ISBN-13 |
: 1107191173 |
Rating |
: 4/5 (74 Downloads) |
Synopsis The Elements of Financial Econometrics by : Jianqing Fan
A compact, master's-level textbook on financial econometrics, focusing on methodology and including real financial data illustrations throughout. The mathematical level is purposely kept moderate, allowing the power of the quantitative methods to be understood without too much technical detail.
Author |
: Kian Guan Lim |
Publisher |
: Walter de Gruyter GmbH & Co KG |
Total Pages |
: 345 |
Release |
: 2022-08-22 |
ISBN-10 |
: 9783110674019 |
ISBN-13 |
: 3110674017 |
Rating |
: 4/5 (19 Downloads) |
Synopsis Theory and Econometrics of Financial Asset Pricing by : Kian Guan Lim
This book will provide a firm foundation in the understanding of financial economics applied to asset pricing. It carries the real world perspective of how the market works, including behavioral biases, and also wraps that understanding in the context of a rigorous economics framework of investors’ risk preferences, underlying price dynamics, rational choice in the large, and market equilibrium other than inexplicable irrational bubbles. It concentrates on analyses of stock, credit, and option pricing. Existing highly cited finance models in pricing of these assets are covered in detail, and theory is accompanied by rigorous applications of econometrics. Econometrics contain elucidations of both the statistical theory as well as the practice of data analyses. Linear regression methods and some nonlinear methods are also covered. The contribution of this book, and at the same time, its novelty, is in employing materials in probability theory, economics optimization, econometrics, and data analyses together to provide a rigorous and sharp intellect for investment and financial decision-making. Mistakes are often made with far too often sweeping pragmatism without deeply knowing the underpinnings of how the market economics works. This book is written at a level that is both academically rigorous for university courses in investment, derivatives, risk management, as well as not too mathematically deep so that finance and banking graduate professionals can have a real journey into the frontier financial economics thinking and rigorous data analytical findings.
Author |
: Yacine Ait-Sahalia |
Publisher |
: Elsevier |
Total Pages |
: 809 |
Release |
: 2009-10-19 |
ISBN-10 |
: 9780080929842 |
ISBN-13 |
: 0080929842 |
Rating |
: 4/5 (42 Downloads) |
Synopsis Handbook of Financial Econometrics by : Yacine Ait-Sahalia
This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. - Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity - Contributors include Nobel Laureate Robert Engle and leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections
Author |
: Julien Chevallier |
Publisher |
: Routledge |
Total Pages |
: 426 |
Release |
: 2019-06-28 |
ISBN-10 |
: 9781351669214 |
ISBN-13 |
: 1351669214 |
Rating |
: 4/5 (14 Downloads) |
Synopsis International Financial Markets by : Julien Chevallier
This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. International Financial Markets: Volume I provides a key repository on the current state of knowledge, the latest debates and recent literature on international financial markets. Against the background of the "financialization of commodities" since the 2008 sub-primes crisis, section one contains recent contributions on commodity and financial markets, pushing the frontiers of applied econometrics techniques. The second section is devoted to exchange rate and current account dynamics in an environment characterized by large global imbalances. Part three examines the latest research in the field of meta-analysis in economics and finance. This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.