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The Elements of Financial Econometrics

Autor Jianqing Fan, Qiwei Yao
en Limba Engleză Hardback – 22 mar 2017
Financial econometrics is an interdisciplinary subject that uses statistical methods and economic theory to address a variety of quantitative problems in finance. This compact, master's-level textbook focuses on methodology and includes real financial data illustrations throughout. The mathematical level is purposely kept moderate, allowing the power of the quantitative methods to be understood without too much technical detail. Wherever possible, the authors indicate where to find the relevant R codes to implement the various methods. This book grew out of a course at Princeton University which is one of the world's flagship programs in computational finance and financial engineering. It will therefore be useful for those with an economics and finance background who are looking to sharpen their quantitative skills, and also for those with strong quantitative skills who want to learn how to apply them to finance.
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Specificații

ISBN-13: 9781107191174
ISBN-10: 1107191173
Pagini: 392
Ilustrații: 6 b/w illus. 92 colour illus. 26 tables 90 exercises
Dimensiuni: 175 x 250 x 23 mm
Greutate: 0.9 kg
Editura: Cambridge University Press
Colecția Cambridge University Press
Locul publicării:New York, United States

Cuprins

1. Asset returns; 2. Linear time series models; 3. Heteroscedastic volatility models; 4. Multivariate time series analysis; 5. Efficient portfolios and capital asset pricing model; 6. Factor pricing models; 7. Portfolio allocation and risk assessment; 8. Consumption-based CAPM; 9. Present-value models; References; Author index; Subject index.

Recenzii

'The Elements of Financial Econometrics is a compact introduction to quantitative methods for financial professionals who want to improve their quantitative skill set. The book is a survey of the statistical tools and associated applications needed by those who seek to use quantitative methods and empirical rigor in their analyses.' Nick Ronalds, Financial Analysts Journal

Notă biografică


Descriere

A compact graduate textbook on financial econometrics, focusing on methodology and including real financial data illustrations throughout.