ENGLISH

Quantitative financial economics: stocks, bonds, and foreign exchange

By Keith Cuthbertson

Book information

Publisher
John Wiley
Year
1996
ISBN
0471953601, 9780471953609, 9780585287966, 0471953598
Open Library ID
OL22126513M
Language
english
Format
DJVU
Filesize
4 MB (3946892 bytes)
Series
Series in financial economics and quantitative analysis
Pages
493\493
Topic
Economy
Library
Kolxo3
DPI
300
Scanned
yes
Time added
2009-07-20 03:45:11

Description

Quantitative techniques in finance have become vitally important to academics and professionals in the financial markets looking to gain a more profitable edge. Quantitative Financial Economics provides a comprehensive introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis. It covers the most recent theoretical and econometric advances in the field, including:Models of noise trader behaviour and short-termismRational and intrinsic bubblesChaos and time varying riskNon-stationarity and cointegrationRational expectationsARCH and GARCH modelsThe author demonstrates how competing theoretical models may be tested and provides illustrative empirical results and theories from the stock, bond and foreign exchange markets. With a judicious blend of theory and practice Quantitative Financial Economics progresses from simple to more complex theoretical models and empirical tests, making it accessible to both students and practitioners undertaking research into the behaviour of asset returns and prices.

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