Financial econometrics: models and methods
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge ; New York ; Melbourne ; New Delhi ; Singapore
Cambridge University Press
[2019]
|
| Schlagwörter: | |
| Links: | http://digitale-objekte.hbz-nrw.de/storage2/2019/04/24/file_4/8363526.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030880936&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | Literaturverzeichnis Seite 533-552 |
| Umfang: | xxvii, 555 Seiten Illustrationen, Diagramme |
| ISBN: | 9781316630334 9781107177154 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV045496172 | ||
| 003 | DE-604 | ||
| 005 | 20200102 | ||
| 007 | t| | ||
| 008 | 190304s2019 xx a||| |||| 00||| eng d | ||
| 020 | |a 9781316630334 |c pbk: £44.99 |9 978-1-316-63033-4 | ||
| 020 | |a 9781107177154 |c hbk: £135.00 |9 978-1-107-17715-4 | ||
| 035 | |a (OCoLC)1090099002 | ||
| 035 | |a (DE-599)BVBBV045496172 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-706 |a DE-188 |a DE-355 |a DE-739 |a DE-92 |a DE-M382 |a DE-521 |a DE-11 | ||
| 084 | |a SK 980 |0 (DE-625)143277: |2 rvk | ||
| 084 | |a QH 300 |0 (DE-625)141566: |2 rvk | ||
| 084 | |a QH 330 |0 (DE-625)141569: |2 rvk | ||
| 100 | 1 | |a Linton, Oliver |e Verfasser |0 (DE-588)171218221 |4 aut | |
| 245 | 1 | 0 | |a Financial econometrics |b models and methods |c Oliver Linton (University of Cambridge) |
| 264 | 1 | |a Cambridge ; New York ; Melbourne ; New Delhi ; Singapore |b Cambridge University Press |c [2019] | |
| 300 | |a xxvii, 555 Seiten |b Illustrationen, Diagramme | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Literaturverzeichnis Seite 533-552 | ||
| 650 | 0 | 7 | |a Kreditmarkt |0 (DE-588)4073788-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Theorie |0 (DE-588)4059787-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Ökonometrie |0 (DE-588)4132280-0 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Ökonometrie |0 (DE-588)4132280-0 |D s |
| 689 | 0 | 1 | |a Kreditmarkt |0 (DE-588)4073788-3 |D s |
| 689 | 0 | 2 | |a Theorie |0 (DE-588)4059787-8 |D s |
| 689 | 0 | |5 DE-604 | |
| 856 | 4 | 2 | |m V:DE-605;X:IDS |q application/pdf |u http://digitale-objekte.hbz-nrw.de/storage2/2019/04/24/file_4/8363526.pdf |3 Inhaltsverzeichnis |
| 856 | 4 | 2 | |m Digitalisierung UB Passau - ADAM Catalogue Enrichment |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030880936&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-030880936 | |
Datensatz im Suchindex
| _version_ | 1819268788667809792 |
|---|---|
| adam_text | Contents List of Figures List of Tables Preface Acknowledgments Notation and Conventions 1 Introduction and Background 1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8 1.9 2 3 XXV xxvii 1 1 3 8 12 27 39 45 49 53 Econometric Background 55 2.1 2.2 55 61 Linear Regression Time Series Return Predictability and the Efficient Markets Hypothesis 3.1 3.2 3.3 3.4 3.5 3.6 3.7 3.8 3.9 IX Why Do We Have Financial Markets? Classification of Financial Markets Types of Markets and Trading Financial Returns Risk Aversion Mean Variance Portfolio Analysis Capital Asset Pricing Model Arbitrage Pricing Theory Appendix page xv xix xxi Efficient Markets Hypothesis The Random Walk Model for Prices Testing of Linear Weak Form Predictability Testing under More General Conditions than rwl Some Alternative Hypotheses Empirical Evidence regarding Linear Predictability based on Variance Ratios Trading Strategy Based Evidence Regression Based Tests of Semi-Strong Form Predictability Summary of Chapter 75 75 81 85 106 118 121 124 129 132
x Contents 4 5 6 Robust Tests and Tests of Nonlinear Predictability of Returns 134 4.1 4.2 4.3 4.4 4.5 134 146 148 150 151 Empirical Market Microstructure 152 5.1 5.2 5.3 5.4 5.5 5.6 5.7 5.8 152 164 168 173 183 187 196 196 Stale Prices Discrete Prices and Quantities Bid, Ask, and Transaction Prices What Determines the Bid-Ask Spread? Strategic Trade Models Electronic Markets Summary of Chapter Appendix Event Study Analysis 6.1 6.2 6.3 6.4 6.5 6.6 6.7 6.8 6.9 6.10 6.11 7 Robust Tests Nonlinear Predictability and Nonparametric Autoregression Further Empirical Evidence on Semistrong and Strong Form EMFI Explanations for Predictability Summary of Chapter Some Applications Basic Structure of an Event Study Regression Framework Nonparametric and Robust Tests Cross-sectional Regressions Time Series Fleteroskedasticity Panel Regression for Estimating Treatment Effects Matching Approach Stock Splits Summary of Chapter Appendix Portfolio Choice and Testing the Capital Asset Pricing Model 7.1 7.2 7.3 7.4 7.5 7.6 7.7 7.8 7.9 Portfolio Choice Testing the Capital Asset Pricing Model Maximum Likelihood Estimation and Testing Cross-sectional Regression Tests Portfolio Grouping Time Varying Model Empirical Evidence on the CAPM Summary of Chapter Appendix Contents XI 8 9 10 238 238 241 246 259 264 268 270 273 274 279 8.1 8.2 8.3 8.4 8.5 279 280 286 288 8.6 8.7 8.8 8.9 8.10 8.11 8.12 201 201 202 218 221 222 223 224 228 229 237 237 Multifactor Pricing Models 11 Linear Factor Model Diversification Pervasive Factors The Econometric Model Multivariate Tests of the Multibeta Pricing Model with
Observable Factors Which Factors to Use? Observable Characteristic Based Models Statistical Factor Models Testing the APT with Estimated Factors The MacKinlay Critique Summary of Chapter Appendix 290 293 299 300 312 312 312 312 Present Value Relations 314 9.1 9.2 9.3 9.4 9.5 9.6 9.7 9.8 9.9 314 316 319 321 323 326 329 335 336 Fundamentals versus Bubbles Present Value Relations Rational Bubbles Econometric Bubble Detection Shiller Excess Volatility Tests An Approximate Model of Log Returns Predictive Regressions Summary of Chapter Appendix Intertemporal Equilibrium Pricing 337 10.1 10.2 10.3 10.4 10.5 10.6 10.7 337 338 339 345 346 353 357 Dynamic Representative Agent Models The Stochastic Discount Factor The Consumption Capital Asset Pricing Model The Equity Premium Puzzle and the Risk Free Rate Puzzle Explanations for the Puzzles Other Asset Pricing Approaches Summary of Chapter Volatility 358 11.1 11.2 11.3 11.4 11.5 358 359 362 370 371 Why is Volatility Important? Implied Volatility from Option Prices Intra Period Volatility Cross-sectional Volatility Empirical Studies
XII Contents 11.6 11.7 11.8 11.9 11.10 11.11 11.12 11.13 11.14 11.15 11.16 11.17 Discrete Time Series Models Engle’s ARCH Model The GARCH Model Asymmetric Volatility Models and Other Specifications Mean and Variance Dynamics Estimation of Parameters Stochastic Volatility Models Long Memory Multivariate Models Nonparametric and Semiparametric Models Summary of Chapter Appendix 12 Continuous Time Processes 12.1 12.2 12.3 12.4 12.5 12.6 12.7 Brownian Motion Stochastic Integrals Diffusion Processes Estimation of Diffusion Models Estimation of Quadratic Variation Volatility from High Frequency Data Levy Processes Summary of Chapter 13 Yield Curve 13.1 13.2 13.3 13.4 13.5 Discount Function, Yield Curve, and Forward Rates Estimation of the Yield Curve from Coupon Bonds Discrete Time Models of Bond Pricing Arbitrage and Pricing Kernels Summary of Chapter 14 Risk Management and Tail Estimation 14.1 14.2 14.3 14.4 14.5 14.6 14.7 14.8 14.9 14.10 Types of Risks Value at Risk Extreme Value Theory A Semiparametric Model of Tail Thickness Dynamic Models and VAR The Multivariate Case Coherent Risk Measures Expected Shortfall Black Swan Theory Summary of Chapter xiii 374 377 380 389 392 395 402 404 407 412 419 419 422 422 427 428 436 450 459 462 463 463 464 469 471 475 476 476 477 479 482 487 489 492 493 494 496 Contents 15 Exercises and Complements Appendix 16.1 16.2 16.3 16.4 16.5 16.6 Common Abbreviations Two Inequalities Signal Extraction Lognormal Random Variables Data Sources A Short Introduction to Eviews Bibliography Index 497 524 524 526 527 528 529 530 533 553
|
| any_adam_object | 1 |
| author | Linton, Oliver |
| author_GND | (DE-588)171218221 |
| author_facet | Linton, Oliver |
| author_role | aut |
| author_sort | Linton, Oliver |
| author_variant | o l ol |
| building | Verbundindex |
| bvnumber | BV045496172 |
| classification_rvk | SK 980 QH 300 QH 330 |
| ctrlnum | (OCoLC)1090099002 (DE-599)BVBBV045496172 |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01939nam a2200421 c 4500</leader><controlfield tag="001">BV045496172</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20200102 </controlfield><controlfield tag="007">t|</controlfield><controlfield tag="008">190304s2019 xx a||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781316630334</subfield><subfield code="c">pbk: £44.99</subfield><subfield code="9">978-1-316-63033-4</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781107177154</subfield><subfield code="c">hbk: £135.00</subfield><subfield code="9">978-1-107-17715-4</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)1090099002</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV045496172</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-706</subfield><subfield code="a">DE-188</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-739</subfield><subfield code="a">DE-92</subfield><subfield code="a">DE-M382</subfield><subfield code="a">DE-521</subfield><subfield code="a">DE-11</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 980</subfield><subfield code="0">(DE-625)143277:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QH 300</subfield><subfield code="0">(DE-625)141566:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QH 330</subfield><subfield code="0">(DE-625)141569:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Linton, Oliver</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)171218221</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Financial econometrics</subfield><subfield code="b">models and methods</subfield><subfield code="c">Oliver Linton (University of Cambridge)</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge ; New York ; Melbourne ; New Delhi ; Singapore</subfield><subfield code="b">Cambridge University Press</subfield><subfield code="c">[2019]</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">xxvii, 555 Seiten</subfield><subfield code="b">Illustrationen, Diagramme</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Literaturverzeichnis Seite 533-552</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kreditmarkt</subfield><subfield code="0">(DE-588)4073788-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Theorie</subfield><subfield code="0">(DE-588)4059787-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Ökonometrie</subfield><subfield code="0">(DE-588)4132280-0</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Ökonometrie</subfield><subfield code="0">(DE-588)4132280-0</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Kreditmarkt</subfield><subfield code="0">(DE-588)4073788-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Theorie</subfield><subfield code="0">(DE-588)4059787-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">V:DE-605;X:IDS</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://digitale-objekte.hbz-nrw.de/storage2/2019/04/24/file_4/8363526.pdf</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Passau - ADAM Catalogue Enrichment</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030880936&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-030880936</subfield></datafield></record></collection> |
| id | DE-604.BV045496172 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T18:28:34Z |
| institution | BVB |
| isbn | 9781316630334 9781107177154 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030880936 |
| oclc_num | 1090099002 |
| open_access_boolean | |
| owner | DE-706 DE-188 DE-355 DE-BY-UBR DE-739 DE-92 DE-M382 DE-521 DE-11 |
| owner_facet | DE-706 DE-188 DE-355 DE-BY-UBR DE-739 DE-92 DE-M382 DE-521 DE-11 |
| physical | xxvii, 555 Seiten Illustrationen, Diagramme |
| publishDate | 2019 |
| publishDateSearch | 2019 |
| publishDateSort | 2019 |
| publisher | Cambridge University Press |
| record_format | marc |
| spellingShingle | Linton, Oliver Financial econometrics models and methods Kreditmarkt (DE-588)4073788-3 gnd Theorie (DE-588)4059787-8 gnd Ökonometrie (DE-588)4132280-0 gnd |
| subject_GND | (DE-588)4073788-3 (DE-588)4059787-8 (DE-588)4132280-0 |
| title | Financial econometrics models and methods |
| title_auth | Financial econometrics models and methods |
| title_exact_search | Financial econometrics models and methods |
| title_full | Financial econometrics models and methods Oliver Linton (University of Cambridge) |
| title_fullStr | Financial econometrics models and methods Oliver Linton (University of Cambridge) |
| title_full_unstemmed | Financial econometrics models and methods Oliver Linton (University of Cambridge) |
| title_short | Financial econometrics |
| title_sort | financial econometrics models and methods |
| title_sub | models and methods |
| topic | Kreditmarkt (DE-588)4073788-3 gnd Theorie (DE-588)4059787-8 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Kreditmarkt Theorie Ökonometrie |
| url | http://digitale-objekte.hbz-nrw.de/storage2/2019/04/24/file_4/8363526.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030880936&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT lintonoliver financialeconometricsmodelsandmethods |