{"product_id":"quantitative-financial-economics-9780470091715","title":"Quantitative Financial Economics","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eReflects the theoretical and econometric\/empirical advances in the financial markets. This book provides an introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003ePreface.  \u003cp\u003eAcknowledgements.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Basic Concepts in Finance.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e1.1 Returns on Stocks, Bonds and Real Assets.\u003c\/p\u003e \u003cp\u003e1.2 Discounted Present Value, DPV.\u003c\/p\u003e \u003cp\u003e1.3 Utility and Indifference Curves.\u003c\/p\u003e \u003cp\u003e1.4 Asset Demands.\u003c\/p\u003e \u003cp\u003e1.5 Indifference Curves and Intertemporal Utility.\u003c\/p\u003e \u003cp\u003e1.6 Investment Decisions and Optimal Consumption.\u003c\/p\u003e \u003cp\u003e1.7 Summary.\u003c\/p\u003e \u003cp\u003eAppendix: Mean-Variance Model and Utility Functions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Basic Statistics in Finance.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e2.1 Lognormality and Jensen’s Inequality.\u003c\/p\u003e \u003cp\u003e2.2 Unit Roots, Random Walk and Cointegration.\u003c\/p\u003e \u003cp\u003e2.3 Monte Carlo Simulation (MCS) and Bootstrapping.\u003c\/p\u003e \u003cp\u003e2.4 Bayesian Learning.\u003c\/p\u003e \u003cp\u003e2.5 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Efficient Markets Hypothesis.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e3.1 Overview.\u003c\/p\u003e \u003cp\u003e3.2 Implications of the EMH.\u003c\/p\u003e \u003cp\u003e3.3 Expectations, Martingales and Fair Game.\u003c\/p\u003e \u003cp\u003e3.4 Testing the EMH.\u003c\/p\u003e \u003cp\u003e3.5 Using Survey Data.\u003c\/p\u003e \u003cp\u003e3.6 Summary.\u003c\/p\u003e \u003cp\u003eAppendix: Cross-Equation Restrictions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Are Stock Returns Predictable?\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e4.1 A Century of Returns.\u003c\/p\u003e \u003cp\u003e4.2 Simple Models.\u003c\/p\u003e \u003cp\u003e4.3 Univariate Tests.\u003c\/p\u003e \u003cp\u003e4.4 Multivariate Tests.\u003c\/p\u003e \u003cp\u003e4.5 Cointegration and Error Correction Models (ECM).\u003c\/p\u003e \u003cp\u003e4.6 Non-Linear Models.\u003c\/p\u003e \u003cp\u003e4.7 Markov Switching Models.\u003c\/p\u003e \u003cp\u003e4.8 Profitable Trading Strategies?\u003c\/p\u003e \u003cp\u003e4.9 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Mean-Variance Portfolio Theory and the CAPM.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e5.1 An Overview.\u003c\/p\u003e \u003cp\u003e5.2 Mean-Variance Model.\u003c\/p\u003e \u003cp\u003e5.3 Capital Asset Pricing Model.\u003c\/p\u003e \u003cp\u003e5.4 Beta and Systematic Risk.\u003c\/p\u003e \u003cp\u003e5.5 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 International Portfolio Diversification.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e6.1 Mathematics of the Mean-Variance Model.\u003c\/p\u003e \u003cp\u003e6.2 International Diversification.\u003c\/p\u003e \u003cp\u003e6.3 Mean-Variance Optimisation in Practice.\u003c\/p\u003e \u003cp\u003e6.4 Summary.\u003c\/p\u003e \u003cp\u003eAppendix I: Efficient Frontier and the CML.\u003c\/p\u003e \u003cp\u003eAppendix II: Market Portfolio.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Performance Measures, CAPM and APT.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e7.1 Performance Measures.\u003c\/p\u003e \u003cp\u003e7.2 Extensions of the CAPM.\u003c\/p\u003e \u003cp\u003e7.3 Single Index Model.\u003c\/p\u003e \u003cp\u003e7.4 Arbitrage Pricing Theory.\u003c\/p\u003e \u003cp\u003e7.5 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Empirical Evidence: CAPM and APT.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e8.1 CAPM: Time-Series Tests.\u003c\/p\u003e \u003cp\u003e8.2 CAPM: Cross-Section Tests.\u003c\/p\u003e \u003cp\u003e8.3 CAPM, Multifactor Models and APT.\u003c\/p\u003e \u003cp\u003e8.4 Summary.\u003c\/p\u003e \u003cp\u003eAppendix: Fama–MacBeth Two-Step Procedure.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Applications of Linear Factor Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e9.1 Event Studies.\u003c\/p\u003e \u003cp\u003e9.2 Mutual Fund Performance.\u003c\/p\u003e \u003cp\u003e9.3 Mutual Fund ‘Stars’?\u003c\/p\u003e \u003cp\u003e9.4 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Valuation Models and Asset Returns.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e10.1 The Rational Valuation Formula (RVF).\u003c\/p\u003e \u003cp\u003e10.2 Special Cases of the RVF.\u003c\/p\u003e \u003cp\u003e10.3 Time-Varying Expected Returns.\u003c\/p\u003e \u003cp\u003e10.4 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 Stock Price Volatility.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e11.1 Shiller Volatility Tests.\u003c\/p\u003e \u003cp\u003e11.2 Volatility Tests and Stationarity.\u003c\/p\u003e \u003cp\u003e11.3 Peso Problems and Variance Bounds Tests.\u003c\/p\u003e \u003cp\u003e11.4 Volatility and Regression Tests.\u003c\/p\u003e \u003cp\u003e11.5 Summary.\u003c\/p\u003e \u003cp\u003eAppendix: LeRoy–Porter and West Tests.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Stock Prices: The VAR Approach.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e12.1 Linearisation of Returns and the RVF.\u003c\/p\u003e \u003cp\u003e12.2 Empirical Results.\u003c\/p\u003e \u003cp\u003e12.3 Persistence and Volatility.\u003c\/p\u003e \u003cp\u003e12.4 Summary.\u003c\/p\u003e \u003cp\u003eAppendix: Returns, Variance Decomposition and Persistence.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 SDF Model and the C-CAPM.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e13.1 Consumption-CAPM.\u003c\/p\u003e \u003cp\u003e13.2 C-CAPM and the ‘Standard’ CAPM.\u003c\/p\u003e \u003cp\u003e13.3 Prices and Covariance.\u003c\/p\u003e \u003cp\u003e13.4 Rational Valuation Formula and SDF.\u003c\/p\u003e \u003cp\u003e13.5 Factor Models.\u003c\/p\u003e \u003cp\u003e13.6 Summary.\u003c\/p\u003e \u003cp\u003eAppendix: Joint Lognormality and Power Utility.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14 C-CAPM: Evidence and Extensions.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e14.1 Should Returns be Predictable in the C-CAPM?\u003c\/p\u003e \u003cp\u003e14.2 Equity Premium Puzzle.\u003c\/p\u003e \u003cp\u003e14.3 Testing the Euler Equations of the C-CAPM.\u003c\/p\u003e \u003cp\u003e14.4 Extensions of the SDF Model.\u003c\/p\u003e \u003cp\u003e14.5 Habit Formation.\u003c\/p\u003e \u003cp\u003e14.6 Equity Premium: Further Explanations.\u003c\/p\u003e \u003cp\u003e14.7 Summary.\u003c\/p\u003e \u003cp\u003eAppendix: Hansen–Jagannathan Bound.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e15 Intertemporal Asset Allocation: Theory.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e15.1 Two-Period Model.\u003c\/p\u003e \u003cp\u003e15.2 Multi-Period Model.\u003c\/p\u003e \u003cp\u003e15.3 SDF Model of Expected Returns.\u003c\/p\u003e \u003cp\u003e15.4 Summary.\u003c\/p\u003e \u003cp\u003eAppendix I: Envelope Condition for Consumption-Portfolio Problem.\u003c\/p\u003e \u003cp\u003eAppendix II: Solution for Log Utility.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e16 Intertemporal Asset Allocation: Empirics.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e16.1 Retirement and Stochastic Income.\u003c\/p\u003e \u003cp\u003e16.2 Many Risky Assets.\u003c\/p\u003e \u003cp\u003e16.3 Different Preferences.\u003c\/p\u003e \u003cp\u003e16.4 Horizon Effects and Uncertainty.\u003c\/p\u003e \u003cp\u003e16.5 Market Timing and Uncertainty.\u003c\/p\u003e \u003cp\u003e16.6 Stochastic Parameters.\u003c\/p\u003e \u003cp\u003e16.7 Robustness.\u003c\/p\u003e \u003cp\u003e16.8 Summary.\u003c\/p\u003e \u003cp\u003eAppendix: Parameter Uncertainty and Bayes Theorem.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e17 Rational Bubbles and Learning.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e17.1 Rational Bubbles.\u003c\/p\u003e \u003cp\u003e17.2 Tests of Rational Bubbles.\u003c\/p\u003e \u003cp\u003e17.3 Intrinsic Bubbles.\u003c\/p\u003e \u003cp\u003e17.4 Learning.\u003c\/p\u003e \u003cp\u003e17.5 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e18 Behavioural Finance and Anomalies.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e18.1 Key Ideas.\u003c\/p\u003e \u003cp\u003e18.2 Beliefs and Preferences.\u003c\/p\u003e \u003cp\u003e18.3 Survival of Noise Traders.\u003c\/p\u003e \u003cp\u003e18.4 Anomalies.\u003c\/p\u003e \u003cp\u003e18.5 Corporate Finance.\u003c\/p\u003e \u003cp\u003e18.6 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e19 Behavioural Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e19.1 Simple Model.\u003c\/p\u003e \u003cp\u003e19.2 Optimising Model of Noise Trader Behaviour.\u003c\/p\u003e \u003cp\u003e19.3 Shleifer–Vishny Model: Short-Termism.\u003c\/p\u003e \u003cp\u003e19.4 Contagion.\u003c\/p\u003e \u003cp\u003e19.5 Beliefs and Expectations.\u003c\/p\u003e \u003cp\u003e19.6 Momentum and Newswatchers.\u003c\/p\u003e \u003cp\u003e19.7 Style Investing.\u003c\/p\u003e \u003cp\u003e19.8 Prospect Theory.\u003c\/p\u003e \u003cp\u003e19.9 Summary.\u003c\/p\u003e \u003cp\u003eAppendix I: The DeLong et al Model of Noise Traders.\u003c\/p\u003e \u003cp\u003eAppendix II: The Shleifer–Vishny Model of Short-Termism.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e20 Theories of the Term Structure.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e20.1 Prices, Yields and the RVF.\u003c\/p\u003e \u003cp\u003e20.2 Theories of the Term Structure.\u003c\/p\u003e \u003cp\u003e20.3 Expectations Hypothesis.\u003c\/p\u003e \u003cp\u003e20.4 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e21 The EH–From Theory to Testing.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e21.1 Alternative Representations of the EH.\u003c\/p\u003e \u003cp\u003e21.2 VAR Approach.\u003c\/p\u003e \u003cp\u003e21.3 Time-Varying Term Premium–VAR Methodology.\u003c\/p\u003e \u003cp\u003e21.4 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e22 Empirical Evidence on the Term Structure.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e22.1 Data and Cointegration.\u003c\/p\u003e \u003cp\u003e22.2 Variance Bounds Tests.\u003c\/p\u003e \u003cp\u003e22.3 Single-Equation Tests.\u003c\/p\u003e \u003cp\u003e22.4 Expectations Hypothesis: Case Study.\u003c\/p\u003e \u003cp\u003e22.5 Previous Studies.\u003c\/p\u003e \u003cp\u003e22.6 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e23 SDF and Affine Term Structure Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e23.1 SDF Model.\u003c\/p\u003e \u003cp\u003e23.2 Single-Factor Affine Models.\u003c\/p\u003e \u003cp\u003e23.3 Multi-Factor Affine Models.\u003c\/p\u003e \u003cp\u003e23.4 Summary.\u003c\/p\u003e \u003cp\u003eAppendix I: Math of SDF Model of Term Structure.\u003c\/p\u003e \u003cp\u003eAppendix II: Single-Factor Affine Models.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e24 The Foreign Exchange Market.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e24.1 Exchange Rate Regimes.\u003c\/p\u003e \u003cp\u003e24.2 PPP and LOOP.\u003c\/p\u003e \u003cp\u003e24.3 Covered-Interest Parity, CIP.\u003c\/p\u003e \u003cp\u003e24.4 Uncovered Interest Parity, UIP.\u003c\/p\u003e \u003cp\u003e24.5 Forward Rate Unbiasedness, FRU.\u003c\/p\u003e \u003cp\u003e24.6 Real Interest Rate Parity.\u003c\/p\u003e \u003cp\u003e24.7 Summary.\u003c\/p\u003e \u003cp\u003eAppendix: PPP and the Wage–Price Spiral.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e25 Testing CIP, UIP and FRU.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e25.1 Covered Interest Arbitrage.\u003c\/p\u003e \u003cp\u003e25.2 Uncovered Interest Parity.\u003c\/p\u003e \u003cp\u003e25.3 Forward Rate Unbiasedness, FRU.\u003c\/p\u003e \u003cp\u003e25.4 Testing FRU: VAR Methodology.\u003c\/p\u003e \u003cp\u003e25.5 Peso Problems and Learning.\u003c\/p\u003e \u003cp\u003e25.6 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e26 Modelling the FX Risk Premium.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e26.1 Implications of \u003ci\u003eβ \u0026lt;\u003c\/i\u003e 1 in FRU Regressions.\u003c\/p\u003e \u003cp\u003e26.2 Consumption-CAPM.\u003c\/p\u003e \u003cp\u003e26.3 Affine Models of FX Returns.\u003c\/p\u003e \u003cp\u003e26.4 FRU and Cash-in-Advance Models.\u003c\/p\u003e \u003cp\u003e26.5 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e27 Exchange Rate and Fundamentals.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e27.1 Monetary Models.\u003c\/p\u003e \u003cp\u003e27.2 Testing the Models.\u003c\/p\u003e \u003cp\u003e27.3 New Open-Economy Macroeconomics.\u003c\/p\u003e \u003cp\u003e27.4 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e28 Market Risk.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e28.1 Measuring VaR.\u003c\/p\u003e \u003cp\u003e28.2 Mapping Assets: Simplifications.\u003c\/p\u003e \u003cp\u003e28.3 Non-Parametric Measures.\u003c\/p\u003e \u003cp\u003e28.4 Monte Carlo Simulation.\u003c\/p\u003e \u003cp\u003e28.5 Alternative Methods.\u003c\/p\u003e \u003cp\u003e28.6 Summary.\u003c\/p\u003e \u003cp\u003eAppendix I: Monte Carlo Analysis and VaR.\u003c\/p\u003e \u003cp\u003eAppendix II: Single Index Model (SIM).\u003c\/p\u003e \u003cp\u003e\u003cb\u003e29 Volatility and Market Microstructure.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e29.1 Volatility.\u003c\/p\u003e \u003cp\u003e29.2 What Influences Volatility?\u003c\/p\u003e \u003cp\u003e29.3 Multivariate GARCH.\u003c\/p\u003e \u003cp\u003e29.4 Market Microstructure–FX Trading.\u003c\/p\u003e \u003cp\u003e29.5 Survey Data and Expectations.\u003c\/p\u003e \u003cp\u003e29.6 Technical Trading Rules.\u003c\/p\u003e \u003cp\u003e29.7 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eReferences.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eRecommended Reading.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eIndex.\u003c\/b\u003e\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default 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