Econometrics of Financial Markets

ISBN-10: 0691043019
ISBN-13: 9780691043012
Edition: 1996
List price: $110.00 Buy it from $18.59
eBook available
This item qualifies for FREE shipping

*A minimum purchase of $35 is required. Shipping is provided via FedEx SmartPost® and FedEx Express Saver®. Average delivery time is 1 – 5 business days, but is not guaranteed in that timeframe. Also allow 1 - 2 days for processing. Free shipping is eligible only in the continental United States and excludes Hawaii, Alaska and Puerto Rico. FedEx service marks used by permission."Marketplace" orders are not eligible for free or discounted shipping.

30 day, 100% satisfaction guarantee

If an item you ordered from TextbookRush does not meet your expectations due to an error on our part, simply fill out a return request and then return it by mail within 30 days of ordering it for a full refund of item cost.

Learn more about our returns policy

Description: 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  More...

Used Starting from $75.88
eBooks Starting from $125.00
Buy
what's this?
Rush Rewards U
Members Receive:
coins
coins
You have reached 400 XP and carrot coins. That is the daily max!
You could win $10,000

Get an entry for every item you buy, rent, or sell.

Study Briefs

Limited time offer: Get the first one free! (?)

All the information you need in one place! Each Study Brief is a summary of one specific subject; facts, figures, and explanations to help you learn faster.

Add to cart
Study Briefs
Medical Terminology Online content $4.95 $1.99
Add to cart
Study Briefs
Medical Math Online content $4.95 $1.99
Add to cart
Study Briefs
Business Ethics Online content $4.95 $1.99

Customers also bought

Loading
Loading
Loading
Loading
Loading
Loading
Loading
Loading
Loading
Loading

Book details

List price: $110.00
Copyright year: 1996
Publisher: Princeton University Press
Publication date: 12/29/1996
Binding: Hardcover
Pages: 632
Size: 6.75" wide x 10.00" long x 1.50" tall
Weight: 1.782
Language: English

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. Professors: A supplementary Solutions Manual is available for this book. It is restricted to teachers using the text in courses. For information on how to obtain a copy, refer to: http://pup.princeton.edu/solutions.html

List of Figures
List of Tables
Preface
Introduction
Organization of the Book
Useful Background
Mathematics Background
Probability and Statistics Background
Finance Theory Background
Notation
Prices, Returns, and Compounding
Definitions and Conventions
The Marginal, Conditional, and Joint Distribution of Returns
Market Efficiency
Efficient Markets and the Law of Iterated Expectations
Is Market Efficiency Testable?
The Predictability of Asset Returns
The Random Walk Hypotheses
The Random Walk 1: IID Increments
The Random Walk 2: Independent Increments
The Random Walk 3: Uncorrelated Increments
Tests of Random Walk 1: IID Increments
Traditional Statistical Tests
Sequences and Reversals, and Runs
Tests of Random Walk 2: Independent Increments
Filter Rules
Technical Analysis
Tests of Random Walk 3: Uncorrelated Increments
Autocorrelation Coefficients
Portmanteau Statistics
Variance Ratios
Long-Horizon Returns
Problems with Long-Horizon Inferences
Tests For Long-Range Dependence
Examples of Long-Range Dependence
The Hurst-Mandelbrot Rescaled Range Statistic
Unit Root Tests
Recent Empirical Evidence
Autocorrelations
Variance Ratios
Cross-Autocorrelations and Lead-Lag Relations
Tests Using Long-Horizon Returns
Conclusion
Market Microstructure
Nonsynchronous Trading
A Model of Nonsynchronous Trading
Extensions and Generalizations
The Bid-Ask Spread
Bid-Ask Bounce
Components of the Bid-Ask Spread
Modeling Transactions Data
Motivation
Rounding and Barrier Models
The Ordered Probit Model
Recent Empirical Findings
Nonsynchronous Trading
Estimating the Effective Bid-Ask Spread
Transactions Data
Conclusion
Outline of an Event Study
An Example of an Event Study
Models fo

×
Free shipping on orders over $35*

*A minimum purchase of $35 is required. Shipping is provided via FedEx SmartPost® and FedEx Express Saver®. Average delivery time is 1 – 5 business days, but is not guaranteed in that timeframe. Also allow 1 - 2 days for processing. Free shipping is eligible only in the continental United States and excludes Hawaii, Alaska and Puerto Rico. FedEx service marks used by permission."Marketplace" orders are not eligible for free or discounted shipping.

Learn more about the TextbookRush Marketplace.

×