Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange / Edition 2

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"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.
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Product Details

Meet the Author

Keith Cuthbertson is Professor of Finance at CASS Business School, City University, London. He has been an advisor to the Bank of England and UK Treasury and a visitor at the Federal Reserve, Washington DC and Bundesbank Professor at the Freie University, Berlin. He has held chairs at the University of Newcastle and Tanaka Business School, Imperial College, as well as undertaking consultancy with financial institutions.

Dirk Nitzsche is an Associate Professor in Finance at CASS Business School and previously was at the Tanaka Business School, Imperial College.

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Table of Contents

1 Basic concepts in finance 1
2 Basic statistics in finance 35
3 Efficient markets hypothesis 53
4 Are stock returns predictable? 73
5 Mean-variance portfolio theory and the CAPM 115
6 International portfolio diversification 141
7 Performance measures, CAPM and APT 169
8 Empirical evidence : CAPM and APT 189
9 Applications of linear factor models 205
10 Valuation models and asset returns 245
11 Stock price volatility 255
12 Stock prices : the VAR approach 273
13 SDF model and the C-CAPM 303
14 C-CAPM : evidence and extensions 323
15 Intertemporal asset allocation : theory 355
16 Intertemporal asset allocation : empirics 375
17 Rational bubbles and learning 397
18 Behavioural finance and anomalies 423
19 Behavioural models 451
20 Theories of the term structure 489
21 The EH - from theory to testing 501
22 Empirical evidence on the term structure 515
23 SDF and affine term structure models 537
24 The foreign exchange market 549
25 Testing CIP, UIP and FRU 567
26 Modelling the FX risk premium 591
27 Exchange rate and fundamentals 607
28 Market risk 627
29 Volatility and market microstructure 653
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