Financial Econometrics: Models and Methods PDF
Preview Financial Econometrics: Models and Methods
Financial Econometrics Models and Methods This is a thorough exploration of the models and methods of financial econometrics by one of the world’s leading financial econometricians and is for students in economics, finance, statistics,mathematics,andengineeringwhoareinterestedinfinancialapplications. Basedoncoursestaughtaroundtheworld,theup-to-datecontentcoversdevelopmentsin econometricsandfinanceoverthepasttwentyyearswhileensuringasolidgroundinginthe fundamentalprinciplesofthefield. Care has been taken to link theory and application to provide real-world context for students, worked exercises and empirical examples have also been included to make sure complicatedconceptsaresolidlyexplainedandunderstood. OLIVERLINTONisafellowofTrinityCollegeandisProfessorofPoliticalEconomyatCam- bridgeUniversity.Formerly,ProfessorofEconometricsattheLondonSchoolofEconomics andProfessorofEconomicsatYaleUniversity.HeobtainedhisPhDinEconomicsfromthe UniversityofCaliforniaatBerkeleyin1991.Hehaswrittenmorethanahundredarticleson econometrics, statistics, and empirical finance. In 2015 he was a recipient of the Humboldt ResearchAwardoftheAlexandervonHumboldtFoundation.HehasbeenaCo-editoratthe JournalofEconometricssince2014.HeisaFellowof:theEconometricSociety,theInstitute ofMathematicalStatistics,theSocietyforFinancialEconometrics,theBritishAcademy,and theInternationalFoundationofAppliedEconometrics.HewasaleadexpertintheU.K.Gov- ernmentOfficeforScienceForesightproject:“ThefutureofComputerTradinginFinancial Markets”,whichpublishedin2012.HehasappearedasanexpertwitnessfortheFSAandthe FCAinseveralcasesinvolvingmarketmanipulation. Financial Econometrics Models and Methods OLIVER LINTON University of Cambridge UniversityPrintingHouse,CambridgeCB28BS,UnitedKingdom OneLibertyPlaza,20thFloor,NewYork,NY10006,USA 477WilliamstownRoad,PortMelbourne,VIC3207,Australia 314–321,3rdFloor,Plot3,SplendorForum,JasolaDistrictCentre,NewDelhi–110025,India 79AnsonRoad,#06-04/06,Singapore079906 CambridgeUniversityPressispartoftheUniversityofCambridge. ItfurtherstheUniversity’smissionbydisseminatingknowledgeinthepursuitof education,learning,andresearchatthehighestinternationallevelsofexcellence. www.cambridge.org Informationonthistitle:www.cambridge.org/9781107177154 DOI:10.1017/9781316819302 ©OliverLinton2019 Thispublicationisincopyright.Subjecttostatutoryexception andtotheprovisionsofrelevantcollectivelicensingagreements, noreproductionofanypartmaytakeplacewithoutthewritten permissionofCambridgeUniversityPress. Firstpublished2019 PrintedintheUnitedKingdombyTJInternationalLtd,PadstowCornwall AcataloguerecordforthispublicationisavailablefromtheBritishLibrary. ISBN978-1-107-17715-4Hardback ISBN978-1-316-63033-4Paperback Additionalresourcesforthispublicationatwww.cambridge.org/linton CambridgeUniversityPresshasnoresponsibilityforthepersistenceoraccuracy ofURLsforexternalorthird-partyinternetwebsitesreferredtointhispublication anddoesnotguaranteethatanycontentonsuchwebsitesis,orwillremain, accurateorappropriate. To my wife, Jianghong Song. Short Contents ListofFigures page xv ListofTables xix Preface xxi Acknowledgments xxv NotationandConventions xxvii 1 Introduction and Background 1 2 Econometric Background 55 3 Return Predictability and the Efficient Markets Hypothesis 75 4 Robust Tests and Tests of Nonlinear Predictability of Returns 134 5 Empirical Market Microstructure 152 6 Event Study Analysis 201 7 Portfolio Choice and Testing the Capital Asset Pricing Model 238 8 Multifactor Pricing Models 279 9 Present Value Relations 314 10 Intertemporal Equilibrium Pricing 337 11 Volatility 358 12 Continuous Time Processes 422 13 Yield Curve 463 14 Risk Management and Tail Estimation 476 15 Exercises and Complements 497 16 Appendix 524 Bibliography 533 Index 553 vii
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