by Campbell, Lo, and MacKinlay
Princeton University Press, 1996
List Price $105.00, Estima's Price $85.00
As the title indicates, this book focuses on the application of econometric techniques in the realm of financial markets. Geared towards PhD students, advanced MBA students, and financial industry professionals, it tackles everything from CAPM and Arbitrage models, to interest rate structures, ARCH models, and chaos theory. Just over 600 pages, hardbound.
Contents
- Introduction
- The Predictability of Asset Returns
- Market Microstructure
- Event-Study Analysis
- The Capital Asset Pricing Model
- Multifactor Pricing Models
- Present-Value Relations
- Intertemporal Equilibrium Models
- Derivative Pricing Models
- Fixed-Income Securities
- Term-Structure Models
- Nonlinearities in Financial Data
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