Financial Econometrics: Models and Methods

Financial Econometrics: Models and Methods
PDF
  • eBook:
    Financial Econometrics: Models and Methods
  • Author:
    Oliver Linton
  • Edition:
    -
  • Categories:
  • Data:
    April 18, 2019
  • ISBN:
    1107177154
  • ISBN-13:
    9781107177154
  • Language:
    English
  • Pages:
    572 pages
  • Format:
    PDF

Book Description
This is a thorough exploration of the models and methods of financial econometrics by one of the world's leading financial econometricians and is for students in 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.

Content

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

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