Open AccessBook
The econometrics of financial markets
TLDR
In this paper, Campbell, Lo, and MacKinlay present an attempt by three well-known and well-respected scholars to fill an acknowledged void in the empirical finance literature, a text covering the burgeoning field of empirical finance.Abstract:
This book is an ambitious effort by three well-known and
well-respected scholars to fill an acknowledged void in the
literature—a text covering the burgeoning field of empirical finance.
As the authors note in the preface, there are several excellent books
covering financial theory at a level suitable for a Ph.D. class or as
a reference for academics and practitioners, but there is little or
nothing similar that covers econometric methods and applications.
Perhaps the closest existing text is the recent addition to the Wiley
Series in Financial and Quantitative Analysis. written by Cuthbertson
(1996). The major difference between the books is that Cuthbertson
focuses exclusively on asset pricing in the stock, bond, and foreign
exchange markets, whereas Campbell, Lo, and MacKinlay (henceforth CLM)
consider empirical applications throughout the field of finance,
including corporate finance, derivatives markets, and market
microstructure. The level of anticipation preceding publication
can be partly measured by the fact that at least three reviews
(including this one) have appeared since the book arrived. Moreover,
in their reviews, both Harvey (1998) and Tiso (1998) comment on the
need for such a text, a sentiment that has been echoed by numerous
finance academics.read more
Citations
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Journal ArticleDOI
Partial correlation analysis: applications for financial markets
TL;DR: In this paper, the authors have presented an analysis of the impact of the European MULTIPLEX (EU-FET project 317532), CONGAS (FP7-ICT-2011-8-317672), FET Open Project FOC 255987 and FOC-INCO 297149, and LINC (no. 289447 funded by the ECs Marie-Curie ITN program).
Journal ArticleDOI
Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets
TL;DR: In this paper, the optimal portfolio choice problem for an investor with utility over consumption under mean-reverting returns is solved, in closed form, by assuming that markets are complete, and the portfolio allocation takes the form of a weighted average and is shown to be analogous to duration for coupon bonds.
Journal ArticleDOI
A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach
TL;DR: In this article, the authors test for the presence of rational bubbles in the NASDAQ stock market index over the period 1994:06-2003:11 by means of a methodology based on fractional processes.
Journal ArticleDOI
Tests of the random walk hypothesis for equity markets: evidence from China, Hong Kong and Singapore
TL;DR: This article used variance ratio tests, robust to heteroskedasticity and employing a recently developed bootstrap technique to customize percentiles for inference purposes, found that Class A shares for Chinese stock exchanges and the Hong Kong equity markets are weak form efficient.
Journal ArticleDOI
Fundamental Real Estate Prices: An Empirical Estimation with International Data
TL;DR: In this article, two alternative models to estimate fundamental prices on real estate markets were proposed, one based on a no-arbitrage condition between renting and buying, and the second model interpreting the period costs as the result of market equilibrium between demand and supply.
References
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Posted Content
An Econometric Analysis of Nonsynchronous Trading
Andrew W. Lo,A. Craig MacKinlay +1 more
TL;DR: In this article, a stochastic model of nonsynchronous asset prices based on sampling with random censoring is developed to estimate the effects of infrequent trading on the time series properties of asset returns.
Book
An Econometric Analysis of Nonsynchronous Trading
Andrew W. Lo,A. Craig MacKinlay +1 more
TL;DR: In this paper, a stochastic model of nonsynchronous asset prices based on sampling with random censoring is developed, which allows the explicit calculation of the effects of infrequent trading on the time series properties of asset returns.
Journal ArticleDOI
An ordered probit analysis of transaction stock prices
TL;DR: In this paper, the authors estimate the conditional distribution of trade-to-trade price changes using ordered probit, a statistical model for discrete random variables, recognizing that transaction price changes occur in discrete increments, typically eighths of a dollar, and occur at irregularly-spaced time intervals.
Book
Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange
Keith Cuthbertson,Dirk Nitzsche +1 more
TL;DR: This new edition of the hugely successful Quantitative Financial Economics has been revised and updated to reflect the most recent theoretical and econometric/empirical advances in the financial markets as discussed by the authors.
Posted Content
Implementing option pricing models when asset returns are predictable
Andrew W. Lo,Jiang Wang +1 more
TL;DR: In this article, the authors propose a class of continuous-time linear diffusion processes for asset prices that can capture a wider variety of predictability, and provide several numerical examples that illustrate their importance for pricing options and other derivative assets.