Erhältlich:
Nicht auf Lager
Buch (Softcover): Fachbuch
Quantitative Financial Economics
Stocks, Bonds and Foreign Exchange
Produkt bewerten
Verlag:
John Wiley & Sons Unsere-Artikel-Nr.: MEEDWG4
EAN: 9780470091715
Erhältlich:
Nicht auf Lager
Zustellung: Di, 28.07.2026
Versand: Kostenlos
-17.1 %
CHF 70.–
CHF 58.–
Beschreibung
Quantitative Financial Economics. 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. REVIEWS FOR 1ST EDITION Review of 1st edition in Journal of Banking and Finance. (22, pp 121-124): "In general the book is well written with a lucid exposition and Cuthbertson is eager on giving intuitive explanations whenever possible. Thus students and empirical researchers in macroeconomics and finance will undoubtedly find the book very valuable. ". Tom Engsted, Aarhus School of Business, Aarhus, Denmark. Review of 1st edition in Journal of Finance. (53(1), pp. 417-420): "I found the book accessible and informative on a variety of topics. It provided me with a different perspective on some of the recent empirical literature. I believe that many finance doctoral student and academics would find it to be a useful resource and a handy reference. ". Robert F. Whitelaw, Stern School of Business, NYU. The book has a supporting website http://www. wiley. co. uk/cuthbertson. which includes questions and answers, illustrative Excel and GAUSS programmes and econometrics notes.
Spezifikationen
Sprache
- Englisch
Autor
- Keith Cuthbertson
- Dirk Nitzsche
Erscheinungsjahr
- 2004
Format
- Buch (Softcover)
Anzahl Seiten
- 736