The Econometrics of Financial Markets

by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay

Book Overview

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...

• Format: Hardcover
• Language: English
• ISBN: 0691043019
• ISBN13: 9780691043012
• Release Date: December 1996
• Publisher: Princeton University Press
• Length: 632 Pages
• Weight: 2.25 lbs.
• Dimensions: 1.6" x 6.4" x 9.1"

Customer Reviews

Econometrics of Financial Markets

Fresh look at the beating heart of the financial markets by one of the best people in the field.

Excellent compendium

This book is for me an excellent summary and sometimes significant enrichment of knowledge acquired during 5 years economics studies with specialization in financial econometrics.

Just excellent.

It covers a variety of topics in a very formal way. it is NOT an easy book (and it shouldn't be...) and it demonstrates that markets are NOT random. Enjoy it.

Excellent and Comprehensive Book on Financial Econometrics

In recent years, the economist have used various econometric method in analyses financial market, but though you can discover some excellent book for financial theory,such as Darrell Duffie's "Dynamic Asset Pricing Theory",there is few comprehensive book on the theories and applications of econometric tools for emprirical finance. So when I found this book, I was so excited. Only having read several chapters, I think it an excellent book, though some difficult, and can't help to introduce it. I think every student who is interested in financial market should read it, at least scan it to know the content of this book. If you have this book, then you can throw all other book on this subject, don't waste time to read them, what you need is just this excellent book. Unfortunely I havn't it,and I hope to own it some day. At last, I have to say thank you to Prof. Gregory Chow who brough this book to my University, so I have chance to read such an excellent book.