| Titre : | Financial econometrics : models and methods |
| Auteurs : | Oliver Linton, Auteur |
| Type de document : | Ouvrages |
| Editeur : | Cambridge University Press, 2020 |
| ISBN/ISSN/EAN : | 978-1-107-17715-4 |
| Format : | 1 vol. (XXIII-555 p.) / ill. / 26 cm |
| Langues: | Anglais |
| Catégories : |
[Eurovoc] ÉCONOMIE > analyse économique > analyse économique > économétrie [Eurovoc] FINANCES |
| Tags : | statistical methods ; mathematical models ; time series ; stochastic model ; econometric and statistical methods |
| Résumé : | Note de l'éditeur : "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." |
| Note de contenu : |
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. |
Exemplaires (1)
| Code-barres | Cote | Support | Localisation | Section | Disponibilité |
|---|---|---|---|---|---|
| 007302 | X 997 | Livre | Centre de documentation du CERDI / Ecole d'Economie | Salle de lecture | Disponible |
