Leseprobe
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The Econometrics of Financial Markets
Andrew W. Lo, John Y. Campbell, A. Craig MacKinlay
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Sachbuch / Geld, Bank, Börse
Beschreibung
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.
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Conditional expectation, Approximation, Likelihood-ratio test, Heteroscedasticity, Variance, Predictability, Covariance matrix, Standard error, Autocorrelation, Forecasting, Risk aversion, Statistic, Compound Return, Stochastic discount factor, Coefficient, Expected value, Estimation, Investor, Time series, Dividend, Bid-Ask Spread, Conditional probability distribution, Financial economics, Interest rate, Likelihood function, Yield spread, Market price, Investment, Nonparametric statistics, Standard deviation, Market portfolio, Maximum likelihood estimation, Autoregressive conditional heteroskedasticity, Discrete time and continuous time, Uncertainty, Instrumental variable, Stochastic process, Rate of return, Real versus nominal value (economics), Asymptotic distribution, Share price, Linear regression, Asset, Statistical significance, Capital asset pricing model, Arbitrage, Discounts and allowances, Unit root, Parameter, Price Change, Autocovariance, Error term, Forward rate, Test statistic, Pricing, Probability, Calculation, Estimator, Degrees of freedom (statistics), Inference, Random variable, Sharpe ratio, Yield curve, Null hypothesis, Normal distribution, Event study, Regression analysis, Summation, Generalized method of moments, Economic equilibrium