The Econometrics Of Financial Markets

Author : John Y. Campbell,Andrew W. Lo,A. Craig MacKinlay
Publisher : Princeton University Press
Page : 630 pages
File Size : 50,6 Mb
Release : 2012-06-28
Category : Business & Economics
ISBN : 9781400830213

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The Econometrics of Financial Markets by John Y. Campbell,Andrew W. Lo,A. Craig MacKinlay Pdf

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 : Szymon Borak,Wolfgang Karl Härdle,Brenda López-Cabrera
Publisher : Springer Science & Business Media
Page : 246 pages
File Size : 43,9 Mb
Release : 2013-01-11
Category : Business & Economics
ISBN : 9783642339295

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Statistics of Financial Markets by Szymon Borak,Wolfgang Karl Härdle,Brenda López-Cabrera Pdf

Practice makes perfect. Therefore the best method of mastering models is working with them. This book contains a large collection of exercises and solutions which will help explain the statistics of financial markets. These practical examples are carefully presented and provide computational solutions to specific problems, all of which are calculated using R and Matlab. This study additionally looks at the concept of corresponding Quantlets, the name given to these program codes and which follow the name scheme SFSxyz123. The book is divided into three main parts, in which option pricing, time series analysis and advanced quantitative statistical techniques in finance is thoroughly discussed. The authors have overall successfully created the ideal balance between theoretical presentation and practical challenges.

Author : Oliver Linton
Publisher : Cambridge University Press
Page : 585 pages
File Size : 47,6 Mb
Release : 2019-02-21
Category : Business & Economics
ISBN : 9781107177154

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Financial Econometrics by Oliver Linton Pdf

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,Qiwei Yao
Publisher : Cambridge University Press
Page : 394 pages
File Size : 47,7 Mb
Release : 2017-03-23
Category : Business & Economics
ISBN : 9781107191174

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The Elements of Financial Econometrics by Jianqing Fan,Qiwei Yao Pdf

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 : Hendrik S. Houthakker,Peter J. Williamson
Publisher : Oxford University Press, USA
Page : 376 pages
File Size : 46,7 Mb
Release : 1996
Category : Business & Economics
ISBN : 9780195044072

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The Economics of Financial Markets by Hendrik S. Houthakker,Peter J. Williamson Pdf

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 : John Y. Campbell,Andrew Wen-Chuan Lo,Archie Craig MacKinlay
Publisher : Unknown
Page : 0 pages
File Size : 42,9 Mb
Release : 2007
Category : Capital market
ISBN : 8122421695

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The Econometrics of Financial Markets by John Y. Campbell,Andrew Wen-Chuan Lo,Archie Craig MacKinlay Pdf

Author : G. Gregoriou,R. Pascalau
Publisher : Springer
Page : 257 pages
File Size : 47,5 Mb
Release : 2010-12-13
Category : Business & Economics
ISBN : 9780230298101

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Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures by G. Gregoriou,R. Pascalau Pdf

This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.

Author : Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji
Publisher : Routledge
Page : 426 pages
File Size : 48,9 Mb
Release : 2019-06-28
Category : Business & Economics
ISBN : 9781351669214

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International Financial Markets by Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji Pdf

This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. International Financial Markets: Volume I provides a key repository on the current state of knowledge, the latest debates and recent literature on international financial markets. Against the background of the "financialization of commodities" since the 2008 sub-primes crisis, section one contains recent contributions on commodity and financial markets, pushing the frontiers of applied econometrics techniques. The second section is devoted to exchange rate and current account dynamics in an environment characterized by large global imbalances. Part three examines the latest research in the field of meta-analysis in economics and finance. This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

Author : John Y. Campbell,Andrew Wen-chuan Lo
Publisher : Unknown
Page : 128 pages
File Size : 53,9 Mb
Release : 1994
Category : Electronic
ISBN : OCLC:753342876

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The Econometrics of Financial Markets by John Y. Campbell,Andrew Wen-chuan Lo Pdf

Author : André Dorsman,John L. Simpson,Wim Westerman
Publisher : Springer Science & Business Media
Page : 249 pages
File Size : 41,6 Mb
Release : 2012-10-12
Category : Business & Economics
ISBN : 9783642306006

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Energy Economics and Financial Markets by André Dorsman,John L. Simpson,Wim Westerman Pdf

Energy issues feature frequently in the economic and financial press. Specific examples of topical energy issues come from around the globe and often concern economics and finance. The importance of energy production, consumption and trade raises fundamental economic issues that impact the global economy and financial markets. This volume presents research on energy economics and financial markets related to the themes of supply and demand, environmental impact and renewables, energy derivatives trading, and finance and energy. The contributions by experts in their fields take a global perspective, as well as presenting cases from various countries and continents.

Author : Marc Levinson
Publisher : The Economist
Page : 304 pages
File Size : 46,6 Mb
Release : 2018-07-24
Category : Business & Economics
ISBN : 9781541742512

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Guide to Financial Markets by Marc Levinson Pdf

The revised and updated 7th edition of this highly regarded book brings the reader right up to speed with the latest financial market developments, and provides a clear and incisive guide to a complex world that even those who work in it often find hard to understand. In chapters on the markets that deal with money, foreign exchange, equities, bonds, commodities, financial futures, options and other derivatives, the book examines why these markets exist, how they work, and who trades in them, and gives a run-down of the factors that affect prices and rates. Business history is littered with disasters that occurred because people involved their firms with financial instruments they didn't properly understand. If they had had this book they might have avoided their mistakes. For anyone wishing to understand financial markets, there is no better guide.

Author : Sardar M. N. Islam,Sethapong Watanapalachaikul
Publisher : Springer Science & Business Media
Page : 208 pages
File Size : 50,9 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783790826661

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Empirical Finance by Sardar M. N. Islam,Sethapong Watanapalachaikul Pdf

This book makes two key contributions to empirical finance. First it provides a comprehensive analysis of the Thai stock market. Second it presents an excellent exposition ofhow modem econometric techniques can be utilised to understand a market. The increasing globalisation of the world's financial markets has made our un derstanding of the risk-return relationship in a broader range of markets critical. This is particularly so in emerging markets where market depth and liquidity are major issues. One such emerging market is Thailand. The Thai capital market isof particular interest given that it was the market in which the Asian financial crises commenced. As such an understanding ofthe Thai capital market via study of the pre and post-crisis periods enables one to shed light on one of the major financial markets events of recent times. This book provides a quantitative analysis of the Thai capital market using some very useful and recent econometric techniques. The book provides an over view of the Thai stock market in chapter 2. Descriptive statistics and time series models (moving average, exponential smoothing, ARIMA) are presented in chap ter 3 followed by market efficiency tests based on autocorrelations in chapter 4. A richer set of models is then considered in chapters 5 through 8. Chapter 5 finds a cointegrating relationship between macroeconomic factors and stock returns.

Author : Moinak Maiti
Publisher : Springer Nature
Page : 287 pages
File Size : 53,8 Mb
Release : 2021-08-31
Category : Business & Economics
ISBN : 9789811640636

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Applied Financial Econometrics by Moinak Maiti Pdf

This textbook gives students an approachable, down to earth resource for the study of financial econometrics. While the subject can be intimidating, primarily due to the mathematics and modelling involved, it is rewarding for students of finance and can be taught and learned in a straightforward way. This book, going from basics to high level concepts, offers knowledge of econometrics that is intended to be used with confidence in the real world. This book will be beneficial for both students and tutors who are associated with econometrics subjects at any level.

Author : Simona Boffelli,Giovanni Urga
Publisher : Unknown
Page : 0 pages
File Size : 46,9 Mb
Release : 2016
Category : Finance
ISBN : 1597182141

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Financial Econometrics Using Stata by Simona Boffelli,Giovanni Urga Pdf

Financial Econometrics Using Stata is an essential reference for graduate students, researchers, and practitioners who use Stata to perform intermediate or advanced methods. After discussing the characteristics of financial time series, the authors provide introductions to ARMA models, univariate GARCH models, multivariate GARCH models, and applications of these models to financial time series. The last two chapters cover risk management and contagion measures. After a rigorous but intuitive overview, the authors illustrate each method by interpreting easily replicable Stata examples.

Author : Roy E. Bailey
Publisher : Cambridge University Press
Page : 706 pages
File Size : 44,5 Mb
Release : 2005-05-26
Category : Business & Economics
ISBN : 052184827X

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The Economics of Financial Markets by Roy E. Bailey Pdf

The Economics of Financial Markets presents a concise overview of capital markets, suitable for advanced undergraduates and for beginning graduate students in financial economics. Following a brief overview of financial markets - their microstructure and the randomness of stock market prices - this textbook explores how the economics of uncertainty can be applied to financial decision-making. The mean-variance model of portfolio selection is discussed, with analysis extended to the capital asset pricing model (CAPM). Arbitrage plays a pivotal role in finance and is studied in a variety of contexts, including the APT model of asset prices. Methods for the empirical evaluation of CAPM and APT are also discussed, together with the volatility of asset prices, the intertemporal CAPM and the equity premium puzzle. An analysis of bond contracts leads into an assessment of theories of the term structure of interest rates. Finally, financial derivatives are explored, focusing on futures and options contracts.