Financial econometrics models and methods - Linton, Oliver (Cambridge Cambridge University Press 2019, 2012)
Includes bibliographical references and indexes. 1. Introduction and background; 2. Econometric background; 3. Return predictability and the efficient markets hypothesis; 4. Robust tests and tests of nonlinear predictability of returns; 5. Empirical market microstructure; 6. Event study analysis; 7. Portfolio choice and testing the capital asset pricing model; 8. Multifactor pricing models; 9. Present value relations; 10. Intertemporal equilibrium pricing; 11. Volatility; 12. Continuous time processes; 13. Yield curve; 14. Risk management and tail estimation; 15. Exercises and complements; 16. Appendix.
Keywords: Finance; Finance--Models and Methods