The Econometrics of Financial Markets

The Econometrics of Financial Markets
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The Econometrics of Monetary Markets Description

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The last twenty years have noticed phenomenal growth in the use of quantitative methods in financial markets. Economists now routinely use sophisticated statistical techniques to portfolio management, proprietary trading, risk management, financial advisory and securities regulation. This manual is intended for senior graduate students, MBA students and professionals interested in the econometrics of monetary modeling. The book covers the full spectrum of empirical finance, including: the predictability of asset returns, tests of the random walk hypothesis, the microstructure of securities markets, event analysis, Capital Asset Pricing Model and Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium and nonlinear financial models such as the Ark networks, neural, statistical fractals and chaos theory.Each chapter develops statistical tactics in the context of a specific monetary instrument The Econometrics of Monetary Markets

\n\nThe Econometrics of Financial Markets Ebook

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