Financial Econometrics : models and methods by Oliver B.Linton

By:

Linton, Oliver B

Material type: Text

TextLanguage: 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	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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