The Elements of Financial Econometrics
Autor Jianqing Fan, Qiwei Yaoen Limba Engleză Hardback – 22 mar 2017
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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
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.