The Econometrics Of Financial Markets

Author : John Y. Campbell
Publisher : Princeton University Press
ISBN 13 : 1400830214
Total Pages : 630 pages
Book Rating : 4.13/5 ( download)

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Download or read book The Econometrics of Financial Markets written by John Y. Campbell and published by Princeton University Press. This book was released on 2012-06-28 with total page 630 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
ISBN 13 : 0691043019
Total Pages : 632 pages
Book Rating : 4.12/5 ( download)

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Download or read book The Econometrics of Financial Markets written by John Y. Campbell and published by Princeton University Press. This book was released on 1997 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
ISBN 13 : 1107177154
Total Pages : 585 pages
Book Rating : 4.54/5 ( download)

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Download or read book Financial Econometrics written by Oliver Linton and published by Cambridge University Press. This book was released on 2019-02-21 with total page 585 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents an up-to-date treatment of the models and methodologies of financial econometrics by one of the world's leading financial econometricians.

Author : Jianqing Fan
Publisher : Cambridge University Press
ISBN 13 : 1107191173
Total Pages : 394 pages
Book Rating : 4.74/5 ( download)

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Download or read book The Elements of Financial Econometrics written by Jianqing Fan and published by Cambridge University Press. This book was released on 2017-03-23 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Nikolaus Hautsch
Publisher : Springer Science & Business Media
ISBN 13 : 364221925X
Total Pages : 374 pages
Book Rating : 4.52/5 ( download)

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Download or read book Econometrics of Financial High-Frequency Data written by Nikolaus Hautsch and published by Springer Science & Business Media. This book was released on 2011-10-12 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Yacine Ait-Sahalia
Publisher : Elsevier
ISBN 13 : 9780080929842
Total Pages : 808 pages
Book Rating : 4.42/5 ( download)

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Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-19 with total page 808 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Keith Pilbeam
Publisher : Bloomsbury Publishing
ISBN 13 : 1350304921
Total Pages : 786 pages
Book Rating : 4.25/5 ( download)

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Download or read book Finance and Financial Markets written by Keith Pilbeam and published by Bloomsbury Publishing. This book was released on 2018-03-25 with total page 786 pages. Available in PDF, EPUB and Kindle. Book excerpt: This popular textbook offers a broad and accessible introduction to the building blocks of modern finance: financial markets, institutions and instruments. Focussing on the core elements of the subject, the author blends theory with real-life data, cases and numerical worked examples, linking the material to practice at just the right level of technical complexity. This new edition has updated data and cases throughout, ensuring that it is as up-to-date as possible in this fast-moving area. More assessment and self-test resources have been added to the book to help support students and lecturers. It is ideally suited to students at all levels who take economics, business and finance courses, as well as for those who want to understand the workings of the modern financial world. New to this Edition: - New case studies, including coverage of the Libor and foreign exchange rigging scandals, Bitcoin, the FinTech revolution and issues raised by Brexit - Fully updated data and relevant numerical examples - Coverage of derivatives such as futures, options and swaps - Extensive discussion of regulatory developments since the financial crisis - A companion website featuring teaching resources is available

Author : Chris Brooks
Publisher : Cambridge University Press
ISBN 13 : 1139472305
Total Pages : 583 pages
Book Rating : 4.02/5 ( download)

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Download or read book Introductory Econometrics for Finance written by Chris Brooks and published by Cambridge University Press. This book was released on 2008-05-22 with total page 583 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Hendrik S. Houthakker
Publisher : Oxford University Press, USA
ISBN 13 : 019504407X
Total Pages : 376 pages
Book Rating : 4.72/5 ( download)

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Download or read book The Economics of Financial Markets written by Hendrik S. Houthakker and published by Oxford University Press, USA. This book was released on 1996 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: Providing a comprehensive introduction to the subject of financial markets, this study includes unique analyses of the pricing of options and futures, particularly futures in Eurodollars. The authors assume a basic understanding of economics.

Author : Svetlozar T. Rachev
Publisher : John Wiley & Sons
ISBN 13 : 0470121521
Total Pages : 560 pages
Book Rating : 4.28/5 ( download)

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Download or read book Financial Econometrics written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2007-03-22 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.