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.
John Y. Campbell is Otto Eckstein Professor of Applied Economics at Harvard University. Andrew W. Lo is Harris & Harris Group Professor of Finance at the Sloan School of Management, Massachusetts Institute of Technology. A. Craig MacKinlay is Joseph P. Wargrove Professor of Finance at the Wharton School, University of Pennsylvania.
"THE ECONOMETRICS OF FINANCIAL MARKETS is a landmark work. Comprehensive and detailed, it presents a refined, and yet accessible, treatment of the broad range of topics that define financial econometrics as it is today. Thoughtful about the deep motivation for theories, and careful in laying out the central mathematical concepts, Campbell, Lo, and MacKinlay kindle real excitement for this field, an appreciation for how much has been developed since its inception, and a sense of the potential power of its applications."--Robert J. Shiller, Stanley B. Resor Professor of Economics, Yale University
"Campbell, Lo, and MacKinlay's ECONOMETRICS OF FINANCIAL MARKETS is an excellent exposition of the econometrics of finance. Comprehensive, timely, and detailed, this book is sufficiently self-contained so as to be useful not only to finance specialists, but to general economists who seek an in-depth introduction to this field. All in all, it is a significant contribution."--George M. Constantinides, Leo Melamed Professor of Finance, The University of Chicago, Graduate School of Business
"Financial econometrics is the great success story of the discipline--combining sophisticated economic theory, detailed and extensive data analysis, and a steady cascade of intriguing empirical results. Campbell, Lo, and MacKinlay display all three features to maximum advantage in their new book, THE ECONOMETRICS OF FINANCIAL MARKETS. The book is gracefully and clearly written and beautifully organized. The result is, quite simply, a must read for students of econometrics and finance and their teachers."--Dale W. Jorgenson, Frederick Eaton Abbe, Professor of Economics, John F. Kennedy School of Government, Harvard University
JANUARY 1997
320 pages; 6 x 9
ISBN: 0-691-04301-9 Cloth in US $49.50
Cloth in UK and Europe £29.95
ECONOMICS
PRINCETON UNIVERSITY PRESS