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Financial econometrics : models and methods

Author: Oliver B Linton
Publisher: Cambridge : Cambridge University Press, 2019.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
"This thorough exploration of the models and methods of financial econometrics is written by one of the world's leading financial econometricians, and is for students of economics, finance, statistics, mathematics, and engineering who are interested in financial applications. Based on courses taught around the world, the up-to-date content covers developments in econometrics and finance over the last twenty years  Read more...
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Document Type: Book
All Authors / Contributors: Oliver B Linton
ISBN: 9781107177154 1107177154 9781316630334 1316630331
OCLC Number: 1084410782
Description: xxvii, 555 pages ; 25 cm
Contents: 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
Responsibility: Oliver Linton.

Abstract:

This thorough exploration of the models and methods of financial econometrics is written by one of the world's leading financial econometricians. The up-to-date content covers developments in  Read more...

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'Financial Econometrics: Models and Methods is an excellent book that provides rigorous and advanced econometric methods for testing financial theories. The book is very well structured and easy to Read more...

 
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