Financial Market Econometrics

Author: Campbell
Publisher:
Publish Date: 2003-04-01
Features: This classic book is suitable for Ph.D. students, executive MBA students, and professionals in the financial industry who are engaged in financial econometrics modeling. The book covers the entire scope of empirical finance, including asset return prediction, the hypothesis of random walks, the microstructure of securities markets, event studies, the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT), the term structure of interest rates, dynamic models of business cycles, and nonlinear financial models such as APCH, neural networks, statistical, and chaos theories. Effective integration of mature economic theory, extensive data analysis, and compelling empirical results makes Financial Market Econometrics a standout. Since its publication, the book has been widely praised by scholars in economics and finance.