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The econometrics of financial markets / (Record no. 12845)

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001 - CONTROL NUMBER
control field 690895
003 - CONTROL NUMBER IDENTIFIER
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005 - DATE AND TIME OF LATEST TRANSACTION
control field 20211022125531.0
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
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010 ## - LIBRARY OF CONGRESS CONTROL NUMBER
LC control number 96027868
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9780691043012 (hbk.) :
Terms of availability $125.00
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9788122421699 (pbk.)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 0691043019 (cloth : acidfree paper)
040 ## - CATALOGING SOURCE
Original cataloging agency DLC
Transcribing agency DLC
Modifying agency DLC
-- IIMU
082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 332.09414
Edition number 23
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Campbell, John Y.
245 14 - TITLE STATEMENT
Title The econometrics of financial markets /
Statement of responsibility, etc. John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay.
260 ## - PUBLICATION, DISTRIBUTION, ETC.
Place of publication, distribution, etc. New Delhi :
-- Princeton, N.J. ;
Name of publisher, distributor, etc. New Age International,
-- Princeton University Press,
Date of publication, distribution, etc. c1997.
300 ## - PHYSICAL DESCRIPTION
Extent xviii, 611 p. :
Other physical details ill. ;
Dimensions 24 cm.
365 ## - TRADE PRICE
Source of price type code USD
Price type code $
Price amount $125.00
Currency code INR
Unit of pricing 1 USD = 76.5 INR
504 ## - BIBLIOGRAPHY, ETC. NOTE
Bibliography, etc. note Includes bibliographical references (p. 541-585) and indexes.
505 ## - FORMATTED CONTENTS NOTE
Formatted contents note 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
520 ## - SUMMARY, ETC.
Summary, etc. The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory.


Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications. taken from publisher's Site.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Capital market
General subdivision Econometric models.
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Lo, Andrew W.
Fuller form of name (Andrew Wen-Chuan)
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name MacKinlay, Archie Craig,
Dates associated with a name 1955-
856 41 - ELECTRONIC LOCATION AND ACCESS
Materials specified Table of contents
Uniform Resource Identifier http://www.loc.gov/catdir/toc/prin031/96027868.html
856 42 - ELECTRONIC LOCATION AND ACCESS
Materials specified Publisher description
Uniform Resource Identifier https://press.princeton.edu/books/hardcover/9780691043012/the-econometrics-of-financial-markets
906 ## - LOCAL DATA ELEMENT F, LDF (RLIN)
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942 ## - ADDED ENTRY ELEMENTS (KOHA)
Source of classification or shelving scheme
Koha item type Monograph
Holdings
Withdrawn status Lost status Source of classification or shelving scheme Materials specified (bound volume or other part) Damaged status Not for loan Permanent Location Current Location Shelving location Date acquired Source of acquisition Cost, normal purchase price Inventory number Full call number Barcode Date last seen Copy number Cost, replacement price Price effective from Koha item type
      hbk.     Indian Institute of Management Udaipur Indian Institute of Management Udaipur A5/3 2021-10-22 20 5818.00 IN-89005 - 01/09/2021 332.09414 005220 2021-10-22 1 9787.50 2021-10-22 Monograph

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