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Financial Econometrics : models and methods

Linton, Oliver B

Financial Econometrics : models and methods by Oliver B.Linton - NY Cambridge 2019 - 555 p.

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

ISBN: 9781316630334 4705

Subjects--Topical Terms:
PHD

Dewey Class. No.: 330.015195 / LIN(FIN)

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