St. Xavier's University, Kolkata
Fr. Arrupe Central Library
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Financial Econometrics : models and methods by Oliver B.Linton

By: Material type: TextTextLanguage: English Publication details: NY Cambridge 2019Description: 555 pISBN:
  • 9781316630334
Subject(s): DDC classification:
  • 330.015195  LIN(FIN)
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Holdings
Item type Current library Collection Call number Copy number Status Barcode
Reference Phd Economics Reference Phd Economics SXU PhD Library Reference Section Reference R 330.015195 LIN(FIN) (Browse shelf(Opens below)) 449 Not For Loan 449
Total holds: 0

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

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