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The elements of financial econometrics

Author: Jianqing Fan; Qiwei Yao
Publisher: Cambridge, United Kingdom ; New York, NY, USA : Cambridge University Press, 2017.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

A compact graduate textbook on financial econometrics, focusing on methodology and including real financial data illustrations throughout.

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Document Type: Book
All Authors / Contributors: Jianqing Fan; Qiwei Yao
ISBN: 9781107191174 1107191173
OCLC Number: 970613254
Description: xii, 381 pages ; 25 cm
Contents: Asset returns --
Linear time series models --
Heteroscedastic volatility models --
Multivariate time series analysis --
Efficient portfolios and capital asset pricing model --
Factor pricing models --
Portfolio allocation and risk assessment --
Consumption based CAPM --
Present-value models --
References --
Author index --
Subject index.
Responsibility: Jianqing Fan, Qiwei Yao.

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'The Elements of Financial Econometrics is a compact introduction to quantitative methods for financial professionals who want to improve their quantitative skill set. The book is a survey of the Read more...

 
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