Financial Econometrics: Models and Methods

ISBN-13: 9781107177154 / Angielski / Twarda / 2019 / 572 str.

Oliver Linton

Opis

Presents an up-to-date treatment of the models and methodologies of financial econometrics by one of the world's leading financial econometricians.

Recenzje

'… this book is a good companion with added clarity … The reader will appreciate his strong theoretical guide for any research replication.' Mark S. Rzepczynski, Enterprising Investor (https://blogs.cfainstitute.org/investor/)

Spis treści

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.