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The econometrics of financial markets
The seeds of this book were planted over fifteen years ago, at the very start of our professional careers. While studying financial economics, and as we began to teach it, we discovered several excellent textbooks for finan- cial theory-Duffie (l992), Huang and Iitzenberger (l988), and Ingersoll (1987), for example-but no equivalent textbook for empirical methods. During the same period, we participated in research conferences on Financial Markets and Monetary Economics, held under the auspices of the National Bureau of Economic Research in Cambridge, Massachusetts. Many of the papers that captured our attention at these meetings involved new econometric methods or new empirical findings in financial economics. We felt that this was some of the most exciting research being done in finance, and that students should be exposed to this material at an early stage. In 1989 we began to discuss the idea of writing a book that would cover econometric methods as applied to finance, along with some of the more prominent empirical results in this area. We began writing in earnest in 1991, completing this arduous project five years and almost six hundred pages later. This book is considerably longer than we had originally planned, but we have finally overcome the temptation to include just one more new topic, and have put our pens to rest. Of course, the academic literature has evolved rapidly while we have been writing, and it continues to do so even as this book goes to press. We have attempted to provide broad coverage, but even so, there are many subjects that we do not touch upon, and many others that we can only mention in passing. We owe many more debts-personal and intellectual-than we can pos- sibly acknowledge. Throughout our professional careers our colleagues and mentors have offered us advice, debate, inspiration, and friendship; we wish to thank in particular Andy Abel, Ben Bernanke, Steve Cecchetti, John Cox, Angus Deaton, Gene Fama, Bruce Grundy, Jerry Hausman, Chi-fu Huang, Mervyn King, Nobu Kiyotaki, Pete Kyle, Greg Mankiw, Bob Merton, Whitney Newey, Bob Shiller, Jim Tobin, and Arnold Zellner.Many individuals have also provided us with invaluable comments and discussions regarding the contents and exposition of this book. We thank David Backus, Nick Barberis, David Barr, Dimitris Bertsimas, Tim Bollerslev, George Constantinides, John Cox, Xavier Gabaix, Lars Hansen, Campbell Harvey, John Heaton, Ludger Hentschel, Roger Huang, Ravi Jagannathan, Gautam Kaul, Dan Nelson, Amlan Roy, Bob Shiller, Tom Stoker, Jean-Luc Vila, Jiang Wang, and the Ph.D. students at Harvard, MIT, Princeton, and Wharton on whom this material was "test-marketed" and refined. We have relied heavily on the able research assistance of Petr Adamek, Sangjoon Kim, Martin Lettau, Terence Lim, Constantin Petrov, Chunsheng Zhou, and particularly Matt Van Vlack and Luis Viceira, who undertook the difficult tasks of proofreading the manuscript and preparing the index. We are grateful to Stephanie Hope for her great skill and care in preparing the electronic version of this manuscript, and the typesetters at Archetype for producing the final version of the book. We thank Peter Dougherty, our editor at Princeton University Press, for his patience, encouragement, and support throughout this project. Several organizations provided us with generous support during var- ious stages of this book's gestation; in particular, we thank Batterymarch Financial Management, the National Bureau of Economic Research, the National Science Foundation, the John M. Olin Foundation, the Alfred P. Sloan Foundation, and research centers at Harvard, MIT, Princeton, and Wharton. And finally, we owe more than we can say to the support and love of our families.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| Tan 332. 094 14 Cam e | PSB lt.dasar - Pascasarjana | 2 |
| Penerbit | Princeton Princeton University Press., 1997 |
|---|---|
| Edisi | - |
| Subjek | Capital market Econometric model |
| ISBN/ISSN | 0691043019 |
| Klasifikasi | NONE |
| Deskripsi Fisik | xviii, 611p; chart, tables, graphics, appendix, 30cm |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |