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Financial econometrics : = models an...

Linton, Oliver B.

Financial econometrics : = models and methods /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Financial econometrics :/ Oliver Linton.
Reminder of title:	models and methods /
Author:	Linton, Oliver B.
Published:	Cambridge :Cambridge University Press, : c2019.,
Description:	xxvii, 555 p. :ill. ; : 25 cm.;
Subject:	Finance - Econometric models. -
ISBN:	9781107177154

Financial econometrics : = models and methods /
Linton, Oliver B.

Financial econometrics :models and methods /Oliver Linton. - Cambridge :Cambridge University Press,c2019. - xxvii, 555 p. :ill. ;25 cm.

Includes bibliographical references (p. 533-552) 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 -- 16. Appendix

"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.

ISBN: 9781107177154

Nat. Bib. No.: GBB914289bnbSubjects--Topical Terms:

557154
Finance
--Econometric models.

LC Class. No.: HG106 / .L56 2019

Dewey Class. No.: 332.015195

Financial econometrics : = models and methods /
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245 1 0 $a Financial econometrics : $b models and methods / $c Oliver Linton.
260 # $a Cambridge : $b Cambridge University Press, $c c2019.
300 $a xxvii, 555 p. : $b ill. ; $c 25 cm.
504 $a Includes bibliographical references (p. 533-552) and index.
505 0 # $a 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
520 8 $a "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.
650 # 0 $a Finance $x Econometric models. $3 557154
650 # 0 $a Finance $x Statistical methods. $3 595278
650 # 0 $a Finance $x Mathematical models. $3 557653
650 # 0 $a Time-series analysis. $3 528412
650 # 0 $a Stochastic processes. $3 528256