The econometrics of financial markets / John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay.
1997
HG4523 .C27 1997 (Map It)
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Items
Details
Author
Title
The econometrics of financial markets / John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay.
Published
Princeton, N.J. : Princeton University Press, [1997]
Copyright
©1997
Call Number
HG4523 .C27 1997
ISBN
0691043019 (cloth : acid-free paper)
Description
xviii, 611 pages : illustrations ; 24 cm
System Control No.
(OCoLC)34906229
Bibliography, etc. Note
Includes bibliographical references (pages 541-585) and indexes.
Record Appears in
Table of Contents
List of Figures
List of Tables
Preface
1
Introduction
3
2
The Predictability of Asset Returns
27
3
Market Microstructure
83
4
Event-Study Analysis
149
5
The Capital Asset Pricing Model
181
6
Multifactor Pricing Models
219
7
Present-Value Relations
253
8
Intertemporal Equilibrium Models
291
9
Derivative Pricing Models
339
10
Fixed-Income Securities
395
11
Term-Structure Models
427
12
Nonlinearities in Financial Data
467
App. A.1
Linear Instrumental Variables
527
App. A.2
Generalized Method of Moments
532
App. A.3
Serially Correlated and Heteroskedastic Errors
534
App. A.4
GMM and Maximum Likelihood
536
References
541
Author Index
587
Subject Index
597