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The Econometrics of Financial Markets - John Y. Campbell - 1st Edition

The Econometrics of Financial Markets – John Y. Campbell – 1st Edition

The past twenty years have seen an extraordinary growth in the use of quantitative in financial markets. Finance professionals now routinely use sophisticated techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation.

This graduate-level textbook is intended for PhD students, 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 , the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term of interest rates, dynamic models of equilibrium, and nonlinear financial models such as ARCH, neural , 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.

1
2 The Predictability of Asset Returns
3 Market Microstructure
4 Event-Study Analysis
5 The Capital Asset Pricing Model
6 Multifactor Pricing Models
7 Present-Value Relations
8 Intertemporal Equilibrium Models
9 Derivative Pricing Models

Title: The Econometrics of Financial Markets
Author: John Y. Campbell / A. Craig Mackinlay/ Andrew W. Lo/ Andrew Y. Lo
Edition: 1st Edition
ISBN: 0691043019 | 9780691043012
Type: Solution Manual
Language: English
Corporate Finance
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1 Comment

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Taha Yasin Özbekler
Taha Yasin Özbekler Reply

do you have a solution manual for the principles of physics 10.edition?


Complete all fields

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