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The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professional now routinely use sophisticated statistical techniques in portfolio management, Proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for Ph.D. students, advanced MBA students, and industry professional 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 market, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure rates, dynamics models of economic equlibrium, and non-linear financial models such as ARCH, neural networks, statistical fractals, and chaos theory.
Each chapter develops statistical techniques within the context of a particular financial application. This exiting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of random walk hypothesis, as well as problems designed to help readers incorporated what have they read into their own applications. ISBN - 9788122417074
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Pages : 611
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