Mendeley出力
＜図書＞
The econometrics of financial markets
| 責任表示 | John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay |
|---|---|
| データ種別 | 図書 |
| 出版情報 | Princeton, N.J. : Princeton University Press , c1997 |
| 本文言語 | 英語 |
| 大きさ | xviii, 611 p. : ill. ; 24 cm |
| 概要 | 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 portfol...o 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. 続きを見る |
所蔵情報
| 状態 | 巻次 | 所蔵場所 | 請求記号 | 刷年 | 文庫名称 | 資料番号 | コメント | 予約・取寄 | 複写申込 | 自動書庫 |
|---|---|---|---|---|---|---|---|---|---|---|
|
|
: cloth | 中央図 4A | 338.1/C 14 | 1997 |
|
003212001001755 |
|
|||
|
|
: cloth | 中央図 3B | 338.1/C 14-1/1 | 1997 |
|
017211997009552 |
|
書誌詳細
| 一般注記 | Bibliography: p. 541-585 Includes indexes |
|---|---|
| 著者標目 | *Campbell, John Y. Lo, Andrew W. Mackinlay, Archie Craig |
| 件 名 | LCSH:Capital market -- Econometric models 全ての件名で検索 |
| 分 類 | NDC9:338.1 LCC:HG4523 DC20:332/.09414 |
| 書誌ID | 1000134994 |
| ISBN | 0691043019 |
| NCID | BA29416707 |
| 巻冊次 | : cloth ; ISBN:0691043019 ; XISBN:9780691043012 |
| 登録日 | 2009.09.11 |
| 更新日 | 2009.09.14 |