Quantitative financial economics : stocks, bonds, and foreign exchange /

Quantitative financial economics : stocks, bonds, and foreign exchange /

Returns and valuation. Efficiency, predictability and volatility. The bond market. The foreign exchange market. Tests of the EMH using the VAR methodology. Time varying risk premia. Econometric issues in testing asset pricing models.

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Detalhes bibliográficos
Autor principal: Cuthbertson, Keith.
Formato: Livro
Idioma:English
Publicado em: Chichester, England ; New York : John Wiley and Sons, 1996.
Assuntos:
Economics.
Foreign exchange.
Stocks.
Investments.
Bonds.
Investments > Mathematical models.
Capital assets pricing model.
Stocks > Mathematical models.
Bonds > Mathematical models.
Foreign exchange > Mathematical models.
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Thư viện lưu trữ: Mạng thư viện Đại học Đà Nẵng
Descrição
Resumo:Returns and valuation. Efficiency, predictability and volatility. The bond market. The foreign exchange market. Tests of the EMH using the VAR methodology. Time varying risk premia. Econometric issues in testing asset pricing models.
Descrição Física:xix, 470 p. : ill. ; 24cm.
ISBN:0471953601

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