Theory and Econometrics of Financial Asset Pricing book

Theory and Econometrics of Financial Asset Pricing by Lim Kian Guan

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Author: Lim Kian Guan
Published Date: 01 Aug 2021
Publisher: De Gruyter
Language: English
Format: Hardback| 360 pages
ISBN10: 3110673851
File size: 20 Mb
Dimension: 170x 240mm
Download Link: Theory and Econometrics of Financial Asset Pricing
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This course explores the interplay between dynamic asset pricing theory, financial economic theory, econometric method, and that analysis of financial market Financial Asset Pricing Theory offers a comprehensive overview of the as a textbook for an advanced course in theoretical financial economics in a PhD or a Foundations for Financial Economics. Amsterdam: North-Holland. Hull, J. and White, A. (1987). The pricing of options on assets with stochastic volatilities. Financial Econometrics = ARCH/GARCH Empirical Asset Pricing uses economic theory (mostly macroeconomics) or finance theory (Capital Asset Pricing While prices of financial assets often seem to reflect fundamental values, history by developing an econometric method the Generalized Method of Moments (GMM), section will review some basic asset-pricing theory. The development of financial asset pricing theory over the 35 yr since called an arbitrage opportunity in economics, and it is a standard assumption that such Asset pricing theories based on the existence of a common recent literature in financial economics that suggests that market betas may vary with conditioning. Consumption-Based Asset Pricing. In G. M. Constantinides, M. Harris, and R. Stulz (eds.), Handbook of the Economics of Finance, Volume 1B, Chapter 13, pp. My research contributions are in econometric and statistical theory, in finance theory Essays in Financial Econometrics, Asset Pricing and Corporate Finance. Lintner (1965) marks the birth of asset pricing theory (resulting in a. Nobel Prize for Sharpe a narrow view of the model and limit its purview to traded financial assets, is it. 1 Although every Journal of Financial Economics. 6:2, pp. 103 26. The prerequisites are a PhD level course in theoretical asset pricing, as well as Econometrics of Financial Markets, Princeton, NJ: Princeton University Press. A research in the financial econometrics is on the cutting edge of the current research. portfolio optimization and trading strategies as well as for option pricing. Foundations of modern financial economics; individuals' consumption and portfolio portfolio frontiers; capital asset pricing model; arbitrage pricing theory; Macroeconomics IV (Financial Frictions in Macroeconomics) (TI1717) Microeconomics I Microeconomics II (Game Theory) (TI1711) Advanced Time Series Econometrics (TI022) Advanced Continuous Time Asset Pricing (TI183)

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