Introductory Econometrics for Finance
by Chris Brooks
Introductory Econometrics: A Modern Approach
by Jeffrey M. Wooldridge
Important Notice: Media content referenced within the product description or the product text may not be available in the ebook version.
The Econometrics of Financial Markets
by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay
The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory.
Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.
by Svetlozar T. Rachev, Stefan Mittnik, Frank J. Fabozzi, Sergio M. Focardi, Teo JaÂšić
Financial econometrics is a quest for models that describefinancial time series such as prices, returns, interest rates, andexchange rates. In Financial Econometrics, readers will beintroduced to this growing discipline and the concepts and theoriesassociated with it, including background material on probabilitytheory and statistics. The experienced author team uses real-worlddata where possible and brings in the results of published researchprovided by investment banking firms and journals. FinancialEconometrics clearly explains the techniques presented and providesillustrative examples for the topics discussed.
Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currentlyChair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD(Munich, Germany) is Professor of Financial Econometrics at theUniversity of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope,PA) is an adjunct professor of Finance at Yale University’sSchool of Management. Sergio M. Focardi (Paris, France) is afounding partner of the Paris-based consulting firm The IntertekGroup. Teo Jasic, PhD, (Frankfurt, Germany) is a senior managerwith a leading international management consultancy firm inFrankfurt.