【图文经典】The Econometrics of Financial Markets金融经济学 前天 Author(s): John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay, Publisher: Princeton University Press, Year: 1996 ISBN: 0691043019,9780691043012
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 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.
About the authors John Y. Campbell John Young Campbell (born May 17, 1958) is a British-American economist. He is the Morton L. and Carole S. Olshan Professor of Economics at the Department of Economics at Harvard University. Andrew W. Lo Andrew Wen-Chuan Lo (born 1960) is the Charles E. and Susan T. Harris Professor of Finance at the MIT Sloan School of Management. Lo is the author of many academic articles in finance and financial economics. As of 2018, he is the chairman emeritus and senior advisor of the AlphaSimplex Group. A. Craig MacKinlay A. Craig MacKinlay is the author of the book.
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