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 | | The Econometrics of Financial Markets by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay, Andrew Y. Lo ISBN-10: 9780691043012 ISBN-10: 0-691-04301-9 ISBN-13: 9780691043012 ISBN-13: 978-0-691-04301-2 Hardcover 1996-12-09 Princeton University Press Find Lowest Price |
Editorials | ||
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. | ||
Reviews | ||
Econometrics of Financial Markets Fresh look at the beating heart of the financial markets by one of the best people in the field. | ||
CML: An Unnecessary Addition to a Saturated Literature I was also skeptical of the negative reviews surrounding this book ("CML"). However after buying and reading this book, I now believe they had merit. Simply stated, this book does not cater to its readers. If you have the prerequisites that the authors demand, then this book is comprehensive but ultimately below what ought to challenge you. And if you don't, then I guarantee you will be very lost. Unlike many similar volumes, CML is not self-contained (nor does it claim to be). And unlike many books that build a self-contained "model" of asset pricing dynamics, CML is full of literature-specific jargon and inconsistent notation. In fact much of this notation changes intrachapter. Suppose you are a reader at the level CML insist their readers be. Then all the better to spend more time understanding Duffie's "Dynamic Asset Pricing," or Cochrane's veritable tour-de-force, "Asset Pricing." Both books are more contemporary and also at a better level for the readers CLM had in mind. If you don't have the requisite knowledge, please ignore CML and try Luenenberger and Casella/Berger, as well as Greene for econometric-specific stats, Hamilton for time-series. You will not regret these purchases. CML claims to fill a gaping hole in the secondary literature. But in reality, CML sits right in the middle of two types of readers, and caters effectively to none. | ||
Last quartile on the subject This book used to be a must the first time it has been published but after ten years it is getting old and the topic is now better covered by some others authors. The arch/garch section is really weak and this book by its sole is not enough to implement advanced models. The authors also forgot to include practical implementation of the models with Splus or Matlab or whatever language, which is now almost a standard in many financial engineering related books. | ||
An oldie but goodie For the past ten years, this boook was the standard of financial time series and cross sectional analysis. There are several more recent books on the subject, but as the first good book in the field, it is still keeping up. Lot of the derivation in the book is a bit spotty - but that is expected at this level of sophistication and originality. There are some frustrating parts in the book, but if you cannot chew through that material, you should probably read an easier book. | ||
Absolutely useless I'm not sure what the audience for this extremely poorly written book is. Is it graduate-level students? If so, this book will drive them totally crazy and depressed, thanks to its confusing structure, lack of contextual motivation for the topics covered, and nonsensical, semi-rigorous mathematical treatment of the subject. Is it "quant" practitioners? If so, it'll leave them more confused and pessimistic about their trade than ever -- or just leave them feeling disappointed and frustrated, which was how I felt when I tried to read this book. This book is so bad it serves as neither a textbook nor a reference. It has no value whatsoever. Want to know the technical details of VAR models and when to use them and when not to use them? You won't find it here. Ditto for GARCH models. Ditto for ECM models. Ditto for dynamic pricing models. I'm pretty well-grounded in advanced math, statistics, econometrics, and financial economics, and I have to confess I had no clue what the word and sentences and math notations in this book meant. The contents are totally incoherent. Please do everyone a favor and don't buy this absolutely worthless book, so publishers won't be encouraged to kills trees in order to print such trash. | ||