The Econometrics of Financial Markets
Harvard University's Otto Eckstein Professor of Applied Economics is John Y. Campbell. Andrew W. Lo is a Harris & Harris Group Professor of Finance at the Massachusetts Institute of Technology's Sloan School of Management. A. Craig MacKinlay is the Joseph P. Wargrove Professor of Finance at the University of Pennsylvania's Wharton School.
The use of quantitative methods in financial markets has increased dramatically over the last two decades. In portfolio management, proprietary trading, risk management, financial consulting, and securities regulation, finance professionals now routinely employ sophisticated statistical techniques. This graduate-level textbook is designed for PhD students, advanced MBA students, and industry professionals interested in financial modeling econometrics. The Econometrics of Financial Markets, one of the best books on economometrics, covers the entire range of empirical finance, including asset return predictability, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, interest rate term structure, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory.
Each chapter focuses on statistical techniques in the context of a specific financial application. This exciting new text offers a unique and approachable blend of theory and practice, bringing cutting-edge statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, such as the rejection of the Random Walk Hypothesis, as well as problems designed to help readers apply what they've learned.
Author: A. Craig MacKinlay, Andrew W. Lo and John Y. Campbell
Link to buy: https://www.amazon.com/Econometrics-Financial-Markets-John-Campbell/dp/0691043019/
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