The Econometrics of Financial Markets /

The Econometrics of Financial Markets / / John Y. Campbell, A. Craig MacKinlay, Andrew W. Lo.

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...

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Bibliographic Details
Superior document:Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Archive 1927-1999
VerfasserIn:
Campbell, John Y.,
Lo, Andrew W.,
MacKinlay, A. Craig,
Place / Publishing House:Princeton, NJ : : Princeton University Press, , [2012]
©1997
Year of Publication:2012
Language:English
Online Access:
Physical Description:1 online resource
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Table of Contents:
  • Frontmatter
  • Contents
  • List of Figures
  • List of Tables
  • Preface
  • The Econometrics of Financial Markets
  • 1. Introduction
  • 2. The Predictability of Asset Returns
  • 3. Market Microstructure
  • 4. Event-Study Analysis
  • 5. The Capital Asset Pricing Model
  • 6. Multifactor Pricing Models
  • 7. Present-Value Relations
  • 8. Intertemporal Equilibrium Models
  • 9. Derivative Pricing Models
  • 10. Fixed-Income Securities
  • 11. Term-Structure Models
  • 12. Nonlinearities in Financial Data
  • Appendix
  • References
  • Author Index
  • Subject Index

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