The Econometrics of Financial Markets Hardcover - 1996
by John Y. Campbell; Andrew W. Lo; A. Craig Mackinlay
From the rear cover
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.
Details
- Title The Econometrics of Financial Markets
- Author John Y. Campbell; Andrew W. Lo; A. Craig Mackinlay
- Binding Hardcover
- Edition 2nd ed
- Pages 632
- Volumes 1
- Language ENG
- Publisher Princeton University Press, Princeton, NJ
- Date 1996-12-29
- ISBN 9780691043012 / 0691043019
- Weight 2.22 lbs (1.01 kg)
- Dimensions 9.09 x 6.41 x 1.56 in (23.09 x 16.28 x 3.96 cm)
- Library of Congress subjects Capital market - Econometric models
- Library of Congress Catalog Number 96027868
- Dewey Decimal Code 332.094
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