Oliver Linton: Financial Econometrics

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Cover: 9781316630334 | Financial Econometrics | Models and Methods | Oliver Linton | Buch

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Sprache: Englisch

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Beschreibung

Presents an up-to-date treatment of the models and methodologies of financial econometrics by one of the world's leading financial econometricians.

Über den Autor

Oliver Linton is a fellow of Trinity College and is Professor of Political Economy at the University of Cambridge. Formerly, Professor of Econometrics at the London School of Economics and Political Science and Professor of Economics at Yale University. He obtained his Ph.D. in Economics from the University of California, Berkeley in 1991. He has written more than a hundred articles on econometrics, statistics, and empirical finance. In 2015, he was a recipient of the Humboldt Research Award of the Alexander von Humboldt Foundation. He has been a Co-editor at the Journal of Econometrics since 2014. He is a Fellow of the Econometric Society, the Institute of Mathematical Statistics, the Society for Financial Econometrics, the British Academy, and the International Foundation of Applied Econometrics. He was a lead expert in the UK Government Office for Science Foresight project: 'The Future of Computer Trading in Financial Markets', which published in 2012. He has appeared as an expert witness for the Financial Services Authority (FSA) and the Financial Conduct Authority (FCA) in several cases involving market manipulation.

Inhaltsverzeichnis

1. Introduction and background; 2. Econometric background; 3. Return predictability and the efficient markets hypothesis; 4. Robust tests and tests of nonlinear predictability of returns; 5. Empirical market microstructure; 6. Event study analysis; 7. Portfolio choice and testing the capital asset pricing model; 8. Multifactor pricing models; 9. Present value relations; 10. Intertemporal equilibrium pricing; 11. Volatility; 12. Continuous time processes; 13. Yield curve; 14. Risk management and tail estimation; 15. Exercises and complements; 16. Appendix.

Erscheinungsjahr:	2019
Fachbereich:	Volkswirtschaft
Genre:	Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
Seiten:	572
Inhalt:	Kartoniert / Broschiert
ISBN-13:	9781316630334
ISBN-10:	1316630331
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Linton, Oliver
Hersteller:	Cambridge University Press
Maße:	245 x 192 x 30 mm
Von/Mit:	Oliver Linton
Erscheinungsdatum:	21.02.2019
Gewicht:	1,252 kg

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