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The Econometrics Of Financial Markets

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Author Info

  • Campbell, John Y.
  • Lo, Andrew W.
  • MacKinlay, A. Craig
  • Whitelaw, Robert F.

Abstract

This book is an ambitious effort by three well-known andwell-respected scholars to fill an acknowledged void in theliterature a text covering the burgeoning field of empirical finance.As the authors note in the preface, there are several excellent bookscovering financial theory at a level suitable for a Ph.D. class or asa reference for academics and practitioners, but there is little ornothing similar that covers econometric methods and applications.Perhaps the closest existing text is the recent addition to the WileySeries in Financial and Quantitative Analysis. written by Cuthbertson(1996). The major difference between the books is that Cuthbertsonfocuses exclusively on asset pricing in the stock, bond, and foreignexchange markets, whereas Campbell, Lo, and MacKinlay (henceforth CLM)consider empirical applications throughout the field of finance,including corporate finance, derivatives markets, and marketmicrostructure. The level of anticipation preceding publicationcan be partly measured by the fact that at least three reviews(including this one) have appeared since the book arrived. Moreover,in their reviews, both Harvey (1998) and Tiso (1998) comment on theneed for such a text, a sentiment that has been echoed by numerousfinance academics.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Macroeconomic Dynamics.

Volume (Year): 2 (1998)
Issue (Month): 04 (December)
Pages: 559-562

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Handle: RePEc:cup:macdyn:v:2:y:1998:i:04:p:559-562_00

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Cited by:
  1. Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Regime Switching and Artificial Neural Network Forecasting of the Cyprus Stock Exchange Daily Returns," Money Macro and Finance (MMF) Research Group Conference 2005 46, Money Macro and Finance Research Group.
  2. Emilio Bisetti & Carlo A. Favero & Giacomo Nocera & Claudio Tebaldi, 2013. "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," Working Papers 503, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  3. Gutierrez, Luciano, 2011. "Looking for Rational Bubbles in Agricultural Commodity Markets," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 120377, European Association of Agricultural Economists.
  4. Angelos Kanas, 2003. "Non-linear forecasts of stock returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(4), pages 299-315.
  5. Chueh-Yung Tsao, 2010. "Portfolio selection based on the mean-VaR efficient frontier," Quantitative Finance, Taylor & Francis Journals, vol. 10(8), pages 931-945.
  6. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Regime Switching and Artificial Neural Network Forecasting," Working Papers 0502, University of Crete, Department of Economics.
  7. Bildirici, Melike & Ersin, Özgür, 2012. "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper 40330, University Library of Munich, Germany, revised May 2012.

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