Economics & Finance

The Econometrics of Financial Markets

A landmark book on quantitative methods in financial markets for graduate students and finance professionals

Hardcover

Price:
$141.00/£65.00
ISBN:
Published:
Dec 29, 1996
1997
Pages:
632
Size:
6 x 9.25 in.
Main_subject:
Economics & Finance
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Recent decades have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is designed 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 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 learned into their own applications.


Awards and Recognition

  • Winner of the 2014 Eugene Fama Prize for Outstanding Contributions to Doctoral Education, University of Chicago Booth School of Business
  • Winner of the 1997 Award for Best Professional/Scholarly Book in Economics, Association of American Publishers
  • Winner of the 1997 Paul A. Samuelson Award, TIAA-CREF