| Description |
xviii, 611 pages : illustrations ; 24 cm |
| Bibliography |
Includes bibliographical references (pages 541-585) and indexes. |
| Contents |
The predictability of asset returns -- Market microstructure -- Event-study analysis -- The capital asset pricing model -- Multifactor pricing models -- Present-value relations -- Intertemporal equilibrium models -- Derivative pricing models -- Fixed-income securities -- Term-structure models -- Nonlinearities in financial data -- Linear instrumental variables -- Generalized method of moments -- Serially correlated and heteroskedastic errors -- GMM and maximum likelihood. |
| Summary |
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. |
| Subject |
Capital market -- Econometric models.
|
|
Capital market -- Econometric models. |
|
Capital market. |
| Added Author |
Lo, Andrew W. (Andrew Wen-Chuan)
|
|
MacKinlay, Archie Craig, 1955-
|
| ISBN |
0691043019 cloth acid-free paper |
|
9780691043012 cloth acid-free paper |
|
