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The econometrics of financial markets A. Craig MacKinlay, Andrew W. Lo, Andrew Y. Lo, John Y. Campbell
Publisher: PUP

When the next Federal Reserve meeting is expected to bring interest rate cuts or increases, it is wise, as a stock investor, to be aware of the potential effects behind such decisions. The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. (JEL G0, G00, G1, G10 tion or output volatility) drive financial markets. Subscribe to: Post Comments (Atom). No comments: Post a Comment · Newer Post Older Post Home. While we learn that financial market data exhibit anomalies or stylized facts, we want to know what explains these facts; we also want models to be able to capture them. To the econometric methods used. The Econometrics of Financial Markets. Journal of Applied Econometrics, 11(5): 573–593. As a leading expert of applied econometrics, Prof. Framework for analyzing financial markets. Ravi Bansal is a professor of finance at the Fuqua School of Business, Duke University. Pesaran studies quantitative analysis of financial markets, macroeconometric modeling, energy demand and the Middle East economy. It describes applications to option pricing, interest rate markets, statistical trading strategies, and risk management.