Financial econometrics : models and methods / Oliver Linton.
Material type:
TextPublisher: Cambridge, United Kingdom : Cambridge University Press, c2019Description: xxvii,555 pages : illustrations (black and white) ; 25 cmContent type: text Media type: unmediated Carrier type: volume ISBN: 9781316630334 [paperback]Subject(s): Finance -- Mathematical models | Finance -- Statistical methods | Stochastic processes | Time-series analysis | Finance -- Econometric models | Econometrics| Item type | Current location | Call number | Copy number | Status | Date due | Barcode |
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Reference (MAIN)
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College Library | 332.015195 L65 2019 (Browse shelf) | c.1 | Available | 3UCBL000027331 | |
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Reference (MAIN)
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College Library | 332.015195 L65 2019 (Browse shelf) | c.2 | Available | 3UCBL000027332 |
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| 332.01 B41 2016 Quantitative finance for dummies / | 332.01 B41 2016 Quantitative finance for dummies / | 332.015195 L65 2019 Financial econometrics : models and methods / | 332.015195 L65 2019 Financial econometrics : models and methods / | 332.02 G34 2004 The young couple's guide to growing rich together / | 332.02 L54 1992 Your money and your home : | 332.024 L56 2008 Financial planning for the utterly confused / |
Includes bibliography and index.
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.
"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 while ensuring a solid grounding in the fundamental principles of the field. Care has been taken to link theory and application to provide real-world context for students, worked exercises and empirical examples have also been included to make sure complicated concepts are solidly explained and understood."--Back cover
Adult
Donation Biore, Christopher College of Business and Accountancy BSBA-Financial Management
Donation Biore, Christopher College of Business and Accountancy BSBA-Financial Management
Text in English
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