Quantitative financial economics : stocks, bonds and foreign exchange / Keith Cuthbertson and Dirk Nitzsche.
"Quantitative Financial Economics provides a comprehensive introduction to models of economic behaviour in financial markets, focusing on analysis in discrete time. Following the huge success of the first edition, this second edition has been fully revised and updated to reflect new development...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Chichester, England ; Hoboken, NJ :
Wiley,
[2004]
|
| Edition: | Second edition. |
| Subjects: |
MARC
| LEADER | 00000cam a22000004i 4500 | ||
|---|---|---|---|
| 005 | 20221101192001.0 | ||
| 008 | 040517s2004 enka b 001 0 eng d | ||
| 010 | |a 2004018706 | ||
| 011 | |a BIB MATCHES WORLDCAT | ||
| 020 | |a 0470091711 |q pbk. (alk. paper) | ||
| 020 | |a 9780470091715 |q pbk. (alk. paper) | ||
| 035 | |a (ATU)b10933414 | ||
| 035 | |a (DLC) 2004018706 | ||
| 035 | |a (OCoLC)56192712 | ||
| 040 | |a DLC |b eng |e rda |d ATU | ||
| 042 | |a pcc | ||
| 050 | 0 | 0 | |a HG4515.2 |b .C87 2004 |
| 082 | 0 | 0 | |a 332.6 |2 22 |
| 100 | 1 | |a Cuthbertson, Keith, |e author. |9 1051064 | |
| 245 | 1 | 0 | |a Quantitative financial economics : |b stocks, bonds and foreign exchange / |c Keith Cuthbertson and Dirk Nitzsche. |
| 250 | |a Second edition. | ||
| 264 | 1 | |a Chichester, England ; |a Hoboken, NJ : |b Wiley, |c [2004] | |
| 264 | 4 | |c ©2004 | |
| 300 | |a xiv, 720 pages : |b illustrations ; |c 25 cm | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a unmediated |b n |2 rdamedia | ||
| 338 | |a volume |b nc |2 rdacarrier | ||
| 504 | |a Includes bibliographical references (pages 683-712) and index. | ||
| 505 | 0 | 0 | |g 1. |t Basic concepts in finance -- |g 2. |t Basic statistics in finance -- |g 3. |t Efficient markets hypothesis -- |g 4. |t Are stock returns predictable? -- |g 5. |t Mean-variance portfolio theory and the CAPM -- |g 6. |t International portfolio diversification -- |g 7. |t Performance measures, CAPM and APT -- |g 8. |t Empirical evidence : CAPM and APT -- |g 9. |t Applications of linear factor models -- |g 10. |t Valuation models and asset returns -- |g 11. |t Stock price volatility -- |g 12. |t Stock prices : the VAR approach -- |g 13. |t SDF model and the C-CAPM -- |g 14. |t C-CAPM : evidence and extensions -- |g 15. |t Intertemporal asset allocation : theory -- |g 16. |t Intertemporal asset allocation : empirics -- |g 17. |t Rational bubbles and learning -- |g 18. |t Behavioural finance and anomalies -- |g 19. |t Behavioural models -- |g 20. |t Theories of the term structure -- |g 21. |t The EH - from theory to testing -- |g 22. |t Empirical evidence on the term structure -- |g 23. |t SDF and affine term structure models -- |g 24. |t The foreign exchange market -- |g 25. |t Testing CIP, UIP and FRU -- |g 26. |t Modelling the FX risk premium -- |g 27. |t Exchange rate and fundamentals -- |g 28. |t Market risk -- |g 29. |t Volatility and market microstructure. |
| 520 | 1 | |a "Quantitative Financial Economics provides a comprehensive introduction to models of economic behaviour in financial markets, focusing on analysis in discrete time. Following the huge success of the first edition, this second edition has been fully revised and updated to reflect new developments in theory and practice." "The authors provide theories and tests of competing ideas in financial markets using examples from the stock, bond and foreign exchange markets. Emphasis is placed on how models inform real-world decisions, making this book accessible to both students and quants practitioners studying the behaviour of asset returns and prices."--BOOK JACKET. | |
| 588 | |a Machine converted from AACR2 source record. | ||
| 650 | 0 | |a Investments |x Mathematical models |9 370808 | |
| 650 | 0 | |a Capital assets pricing model |9 314988 | |
| 650 | 0 | |a Stocks |x Mathematical models |9 717954 | |
| 650 | 0 | |a Bonds |x Mathematical models |9 717174 | |
| 650 | 0 | |a Foreign exchange |x Mathematical models |9 717959 | |
| 700 | 1 | |a Nitzsche, Dirk, |e author. |9 1051065 | |
| 907 | |a .b10933414 |b 20-03-18 |c 27-10-15 | ||
| 942 | |c B | ||
| 945 | |a 332.6 CUT |g 1 |i A263115B |j 0 |l cmain |o - |p $85.11 |q - |r - |s - |t 0 |u 7 |v 0 |w 0 |x 0 |y .i12153801 |z 29-10-15 | ||
| 952 | |0 0 |1 0 |4 0 |6 332_600000000000000_CUT |7 0 |9 272824 |a C |b C |c cmain |d 2015-10-29 |g 85.11 |i i12153801 |l 7 |m 0 |o 332.6 CUT |p A263115B |r 2015-10-29 00:00:00 |t 1 |v 85.11 |w 2021-10-31 |y B | ||
| 998 | |a (2)b |a (2)c |b 20-03-18 |c m |d a |e - |f eng |g enk |h 0 | ||
| 999 | |c 1153942 |d 1153942 | ||