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Quantitative financial economics : stocks, bonds and foreign exchange
Autor: Cuthbertson, Keith
Rok: 1996
ISBN: 9780471953609
ISBN: 9780471953593
OKCZID: 110226193
Citace (dle ČSN ISO 690):
CUTHBERTSON, Keith. Quantitative financial economics: stocks, bonds and foreign exchange. Brisbane: Wiley & Sons (Chichester), 1996. xix, 470 s. Wiley series in financial economics and quantitative analysis.
Hodnocení:
5.0 / 5
(6 hlasů)
Anotace
Quantitative techniques in finance have become vitally important to academics and professionals in the financial markets looking to gain a more profitable edge. Quantitative Financial Economics provides a comprehensive introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis. It covers the most recent theoretical and econometric advances in the field, including:Models of noise trader behaviour and short-termismRational and intrinsic bubblesChaos and time varying riskNon-stationarity and cointegrationRational expectationsARCH and GARCH modelsThe author demonstrates how competing theoretical models may be tested and provides illustrative empirical results and theories from the stock, bond and foreign exchange markets. With a judicious blend of theory and practice Quantitative Financial Economics progresses from simple to more complex theoretical models and empirical tests, making it accessible to both students and practitioners undertaking research into the behaviour of asset returns and prices.