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

Paperback (Print)
Used and New from Other Sellers
Used and New from Other Sellers
from $48.00
Usually ships in 1-2 business days
(Save 34%)
Other sellers (Paperback)
  • All (14) from $48.00   
  • New (8) from $55.39   
  • Used (6) from $48.00   

Overview

"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.
Read More Show Less

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.

Read More Show Less

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
Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star

(0)

4 Star

(0)

3 Star

(0)

2 Star

(0)

1 Star

(0)

Your Rating:

Your Name: Create a Pen Name or

Barnes & Noble.com Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & Noble.com that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & Noble.com does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at BN.com or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation

Reminder:

  • - By submitting a review, you grant to Barnes & Noble.com and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Noble.com Terms of Use.
  • - Barnes & Noble.com reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & Noble.com also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on BN.com. It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

 
Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)