The econometrics of financial markets / John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay.

• The predictability of asset returns -- Market microstructure -- Event-study analysis -- The capital asset pricing model -- Multifactor pricing models -- Present-value relations -- Intertemporal equilibrium models -- Derivative pricing models -- Fixed-income securities -- Term-structure models -- Nonlinearities in financial data -- Linear instrumental variables -- Generalized method of moments -- Serially correlated and heteroskedastic errors -- GMM and maximum likelihood. 

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Ämnesord

Ekonometri  (sao)

Kapitalmarknad  (sao)

Capital market  -- Econometric models (LCSH)

Econometrics  (LCSH)

Capital market  (LCSH)

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