【共享】C.L.M 的 The Econometrics of Financial Market(英文版)

太感动了.有这么好的同学.

感谢

thanks

Editorial Reviews

Review Written by the "A" team of financial empiricism, it is a long awaited book. It covers many topics one could only usually find couched in the technical jargon of research papers, presented in this volume with pedagogical intentions. The language, while remaining technical, is quite accessible. It can be effortlessly read by scientific traders with standard knowledge of statistical methods. . . . This book should be made mandatory reading in research departments. Product Description: 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

Winner of the 1997 Association of American Publishers Award for Best Professional/Scholarly Book in Economics Winner of the 1997 Paul A. Samuelson Award, presented by TIAA-CREF

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.

Reviews:

"The definitive work explaining this complex but important field of academic endeavor. Oh, and by the way, it's not just academic. The big question that financial econometircs addresses is: What can you learn about the future from the financial data available from the past? This broad issue can be specified in many different ways, and all the important ones are discussed in the book. . . . The vast literature on all the topics examined is assessed, rendered coherent, and then analysed by three men who themselves have made significant advances in the field."--Ruben Lee, London Financial Market

"This book is sophisticated, yet accessible; full of details, yet intriguing. . . . Instructors will appreciate the attempt to make each chapter as self contained as possible which leaves them free to choose specified sequences of topics. Professionals will be pleased with the quick and authoritative introductions to important areas of Finance. . . . [A] well written introduction (indeed, something more) to Financial Econometrics. It is alert, explicit and articulate about assumptions. . . a splendid offering. . . . "--Maurizio Tiso, Review of Financial Studies

"Written by the "A" team of financial empiricism, it is a long awaited book. It covers many topics one could only usually find couched in the technical jargon of research papers, presented in this volume with pedagogical intentions. The language, while remaining technical, is quite accessible. It can be effortlessly read by scientific traders with standard knowledge of statistical methods. . . . This book should be made mandatory reading in research departments."--Derivative Strategies

TABLE OF CONTENTS:

	List of Figures
	List of Tables
	Preface
1	Introduction	3
2	The Predictability of Asset Returns	27
3	Market Microstructure	83
4	Event-Study Analysis	149
5	The Capital Asset Pricing Model	181
6	Multifactor Pricing Models	219
7	Present-Value Relations	253
8	Intertemporal Equilibrium Models	291
9	Derivative Pricing Models	339
10	Fixed-Income Securities	395
11	Term-Structure Models	427
12	Nonlinearities in Financial Data	467
App. A.1	Linear Instrumental Variables	527
App. A.2	Generalized Method of Moments	532
App. A.3	Serially Correlated and Heteroskedastic Errors	534
App. A.4	GMM and Maximum Likelihood	536
	References	541
	Author Index	587
	Subject Index	597

昨天，我花了数小时的时间，进行了加工处理：OCR（现在可以复制其中的内容），文件缩小到9M，基本上同原版，关键是去掉了原来的大量黑斑。如有需要，请提出申请。先上传第一章，请试用。（不知是否占用服务器空间，只传一章） 8336.rar (167.08 KB) 本附件包括：

• Pages from The Econometrics of Financial Market_Chp1.pdf

2005-1-22 10:22:00 上传

[分享]The Econometrics of Financial Market清晰版

[此贴子已经被作者于2005-1-22 10:23:28编辑过]

太感谢了。这个正是我老师的推荐教材，真是感激不尽。

以下是引用easyspring在2005-1-22 9:41:40的发言： 昨天，我花了数小时的时间，进行了加工处理：OCR（现在可以复制其中的内容），文件缩小到9M，基本上同原版，关键是去掉了原来的大量黑斑。如有需要，请提出申请。先上传第一章，请试用。（不知是否占用服务器空间，只传一章）

呵呵,整理得很好啊,请上传把,

nice and clear