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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Dettagli Bibliografici
Autore principale: Cuthbertson, Keith.
Natura: Libro
Lingua:English
Pubblicazione: Chichester, England ; New York : John Wiley and Sons, 1996.
Soggetti:
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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