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Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange

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Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange

Keith Cuthbertson

ISBN: 978-0-470-86033-5 October 2000 492 Pages

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Description

Quantitative Financial Economics Stocks, Bonds and Foreign Exchange Quantitative techniques in finance have become vitally important to academics and professionals in the financial markets looking to gain a more profitable edge. Quantitative Financial Economics provides a comprehensive introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis. It covers the most recent theoretical and econometric advances in the field, including:
* Models of noise trader behaviour and short-termism
* Rational and intrinsic bubbles
* Chaos and time varying risk
* Non-stationarity and cointegration
* Rational expectations
* ARCH and GARCH models
The author demonstrates how competing theoretical models may be tested and provides illustrative empirical results and theories from the stock, bond and foreign exchange markets. With a judicious blend of theory and practice Quantitative Financial Economics progresses from simple to more complex theoretical models and empirical tests, making it accessible to both students and practitioners undertaking research into the behaviour of asset returns and prices.
Partial table of contents:

RETURNS AND VALUATION.

Basic Concepts in Finance.

Modelling Equilibrium Returns.

Valuation Models.

EFFICIENCY PREDICTABILITY AND VOLATILITY.

Empirical Evidence on Efficiency.

Rational Bubbles.

Anomalies, Noise Traders and Chaos.

THE BOND MARKET: Bond Prices and the Term Structure of Interest Rates.

Empirical Evidence on the Term Structure.

THE FOREIGN EXCHANGE MARKET.

Testing CIP, UIP and FRU.

The Exchange Rate and Fundamentals.

TESTS OF THE EMH USING THE VAR METHODOLOGY.

The Term Structure and the Bond Market.

The FOREX Market.

The Stock Market.

TIME VARYING RISK PREMIA.

Risk Premia: The Stock Market.

Risk Premia: The Bond Market.

ECONOMETRIC ISSUES IN TESTING ASSET PRICING MODELS.

Economic and Statistical Models.