Econometrics of financial markets

By:

Campbell J.Y; Lo A.W; Mackinlay A.C

Material type: Text

TextPublication details: 1997 Princeton University Press New JerseyDescription: xviii,611p 24 cm; Hard BoundISBN:

978-0691043012

Subject(s):

Capital market-Econometric models Econometrics

Summary: 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.

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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode
Books	H.T. Parekh Library	GSB Collection	332.09414 CAM (Browse shelf(Opens below))	Available		19996

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$57

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.

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