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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.
From the Inside Flap
Quantitative Financial Economics provides a comprehensive introduction to models of economic behaviour in financial markets, focusing on analysis in discrete time. Following the huge success of the first edition, this second edition has been fully revised and updated to reflect new developments in theory and practice, including: Behavioural finance: Preferences, arbitrage and learning Mean-variance and intertemporal asset allocation Performance of mutual and hedge funds Momentum, value-glamour strategies, style investing, market timing. Stochastic discount factor models: Equity premium and volatility puzzles Affine and cash-in-advance models Value at risk: Monte Carlo simulation, bootstrapping. Market microstructure: FX markets, technical trading, chartism Calibration, regime switching, data snooping, non-linear models.
The authors provide theories and tests of competing ideas in financial markets using examples from the stock, bond and foreign exchange markets. Emphasis is placed on how models inform real-world decisions, making this book accessible to both students and quants practitioners studying the behaviour of asset returns and prices.
The book has a supporting website wiley.co.uk/cuthbertson which includes questions and answers, illustrative Excel and GAUSS programmes and econometrics notes.
--This text refers to an alternate
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Author(s) Book :Keith Cuthbertson
Publish Year :1996 Publisher : Wiley
You can check by ISBN10/ISBN13 : 0471953601/9780471953609

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