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Powerpoint Slides
Lecture Slides
Excel Files
Endorsements
"QFE is a clear, up-to-date text on the
application of econometric techniques to the analysis of financial
markets. What is particually good about this book is that it combines
a very lucid explanation of the relevant economic theories, a precise
description of the econometric issues involved in their analysis
and an admirably succinct account of the evidence from the best
work in the field."
David Miles
Professor of Finance, Tanaka Business School, Imperial College,
London and Managing Director and Chief Economist, Morgan Stanley.
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Quantitative Financial Economics
(2nd ed.)
This text 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, the second
edition has been fully revised and updated to reflect new developments
in theory and practice, including
- Behavioural finance : Preferences, arbitrage
and learning
- Mean-variance and intertemporal asset allocation
- Performance of mutual funds and hedge funds
- Momentum, value-glamour startegies, style investing, market
timing
- Stochastic discount factor models : Equity premium and volatility
puzzles
- Affine and cash-in-advance models
- Value at risk : Monte Carlo simulation, bootstrapping
- Market microstructure : FX markets, technical trading, chartism
- Calibration, regime switching, data snooping, non-linear models
Powerpoint
Slides (only Figures and Diagrams from book)
Lecture Slides
Excel Files
Endorsements
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