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

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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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Bibliographic Details
Main Author:	Cuthbertson, Keith.
Format:	Book
Language:	English
Published:	Chichester, England ; New York : John Wiley and Sons, 1996.
Subjects:	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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Institutions:	Mạng thư viện Đại học Đà Nẵng

Description
Summary:	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.
Physical Description:	xix, 470 p. : ill. ; 24cm.
ISBN:	0471953601