The Econometrics of Financial Markets

The Econometrics of Financial Markets

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This graduate-level textbook is intended for PhD students, advanced MBA students and industry professionals interested in the econometrics of financial modelling. It covers topics including: the predictability of asset returns; the Random Walk Hypothesis;ECONOMISTS ARE FREQUENTLY ASKED to measure the effect of an economic event on the value of a firm. On the surface this seems like a difficult task, but a measure can be constructed easily using financial market data in an event study.

Title:The Econometrics of Financial Markets
Author: John Y. Campbell, Andrew Wen-Chuan Lo, Archie Craig MacKinlay
Publisher:Princeton University Press - 1997

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