Quantitative Financial Economics: Stocks, Bonds, and Foreign Exchange (Series in financial economics and quantitative analysis)

Quantitative Financial Economics Stocks, Bonds and Foreign Exchange Quantitative techniques in finance have become vitally important to academics and professionals in the financial markets looking to gain a more profitable edge. Quantitative Financial Economics provides a comprehensive introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis. It covers the most recent theoretical and econometric advances in the field, including: • Models of noise trader behaviour and short-termism • Rational and intrinsic bubbles • Chaos and time varying risk • Non-stationarity and cointegration • Rational expectations • ARCH and GARCH models The author demonstrates how competing theoretical models may be tested and provides illustrative empirical results and theories from the stock, bond and foreign exchange markets. With a judicious blend of theory and practice Quantitative Financial Economics progresses from simple to more complex theoretical models and empirical tests, making it accessible to both students and practitioners undertaking research into the behaviour of asset returns and prices. "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. Focusing on discrete time series analysis, this work presents a comprehensive introduction to the models of economic behaviour currently used in financial markets. The author covers recent theoretical and empirical advances, and uses the results of research to illustrate technical theories. This text provides a comprehensive introduction to models of economic behaviour in financial markets through the use of real examples taken from the markets to illustrate technical theories Keith Cuthbertson. Includes Bibliographical References (p.[453]-465) And Index.