Financial Econometrics
Models and Methods
Publisher: Cambridge University Press
Date of Publication: 21 February 2019
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Product details:
| ISBN13: | 9781316630334 |
| ISBN10: | 1316630331 |
| Binding: | Paperback |
| No. of pages: | 572 pages |
| Size: | 246x190x26 mm |
| Weight: | 1250 g |
| Language: | English |
| Illustrations: | 96 b/w illus. |
| 89 |
Category:
Short description:
Presents an up-to-date treatment of the models and methodologies of financial econometrics by one of the world's leading financial econometricians.
Long description:
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.
'Financial Econometrics: Models and Methods is an excellent book that provides rigorous and advanced econometric methods for testing financial theories. The book is very well structured and easy to follow. The author has successfully managed to simplify the theory of these methods, which makes the book highly recommended not only for Master's students, but also for practitioners who might be interested in using up-to-date econometric techniques for financial data analysis.' Abderrahim Taamouti, Durham University
'Financial Econometrics: Models and Methods is an excellent book that provides rigorous and advanced econometric methods for testing financial theories. The book is very well structured and easy to follow. The author has successfully managed to simplify the theory of these methods, which makes the book highly recommended not only for Master's students, but also for practitioners who might be interested in using up-to-date econometric techniques for financial data analysis.' Abderrahim Taamouti, Durham University
Table of Contents:
1. Introduction and background; 2. Econometric background; 3. Return predictability and the efficient markets hypothesis; 4. Robust tests and tests of nonlinear predictability of returns; 5. Empirical market microstructure; 6. Event study analysis; 7. Portfolio choice and testing the capital asset pricing model; 8. Multifactor pricing models; 9. Present value relations; 10. Intertemporal equilibrium pricing; 11. Volatility; 12. Continuous time processes; 13. Yield curve; 14. Risk management and tail estimation; 15. Exercises and complements; 16. Appendix.
