THE ECONOMETRICS OF FINANCIAL MARKETS

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 modeling.
The book covers the entire spectrum of empirical finance, including:
the predictability of asset returns, tests of the Random Walk
Hypothesis, the microstructure of securities markets, event analysis,
the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the
term structure of interest rates, dynamic models of economic
equilibrium, and nonlinear financial models such as ARCH, neural
networks, statistical fractals, and chaos theory.

Each chapter
develops statistical techniques within the context of a particular
financial application. This exciting new text contains a unique and
accessible combination of theory and practice, bringing
state-of-the-art statistical techniques to the forefront of financial
applications. Each chapter also includes a discussion of recent
empirical evidence, for example, the rejection of the Random Walk
Hypothesis, as well as problems designed to help readers incorporate
what they have read into their own applications