Financial econometrics: models and methods

Frontmatter
1 - Introduction and Background

pp 1-54
2 - Econometric Background

pp 55-74
3 - Return Predictability and the Efficient Markets Hypothesis

pp 75-133
4 - Robust Tests and Tests of Nonlinear Predictability of Returns

pp 134-151
5 - Empirical Market Microstructure

pp 152-200
6 - Event Study Analysis

pp 201-237
7 - Portfolio Choice and Testing the Capital Asset Pricing Model

pp 238-278
8 - Multifactor Pricing Models

pp 279-313
9 - Present Value Relations

pp 314-336
10 - Intertemporal Equilibrium Pricing

pp 337-357
11 - Volatility

pp 358-421
12 - Continuous Time Processes

pp 422-462
13 - Yield Curve

pp 463-475
14 - Risk Management and Tail Estimation

pp 476-496
15 - Exercises and Complements

pp 497-523
16 - Appendix

pp 524-532
Bibliography

pp 533-552
Index

pp 553-556

Description
This is a thorough exploration of the models and methods of financial econometrics by one of the world's leading financial econometricians and is for students in economics, finance, statistics, mathematics, and engineering who are interested in financial applications. Based on courses taught around the world, the up-to-date content covers developments in econometrics and finance over the last twenty years while ensuring a solid grounding in the fundamental principles of the field. Care has been taken to link theory and application to provide real-world context for students. Worked exercises and empirical examples have also been included to make sure complicated concepts are solidly explained and understood.