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Table Of Contents

4.2 Simple Models
4.3 Univariate Tests
4.4 Multivariate Tests
4.6 Non-Linear Models
4.7 Markov Switching Models
4.8 Profitable Trading Strategies?
4.9 Summary
Aims
5.1 An Overview
5.2 Mean-Variance Model
5.3 Capital Asset Pricing Model
5.4 Beta and Systematic Risk
5.5 Summary
6.2 International Diversification
6.4 Summary
Appendix II: Market Portfolio
7.1 Performance Measures
7.2 Extensions of the CAPM
7.3 Single Index Model
7.4 Arbitrage Pricing Theory
7.5 Summary
8.1 CAPM: Time-Series Tests
8.2 CAPM: Cross-Section Tests
8.4 Summary
9.1 Event Studies
9.2 Mutual Fund Performance
9.3 Mutual Fund ‘Stars’?
9.4 Summary
10.2 Special Cases of the RVF
10.3 Time-Varying Expected Returns
10.4 Summary
STOCK PRICE VOLATILITY
11.1 Shiller Volatility Tests
11.2 Volatility Tests and Stationarity
11.4 Volatility and Regression Tests
11.5 Summary
12.2 Empirical Results
12.3 Persistence and Volatility
12.4 Summary
13.1 Consumption-CAPM
13.3 Prices and Covariance
13.5 Factor Models
13.6 Summary
14.4 Extensions of the SDF Model
14.5 Habit Formation
14.7 Summary
15.1 Two-Period Model
15.2 Multi-Period Model
15.3 SDF Model of Expected Returns
15.4 Summary
16.2 Many Risky Assets
16.3 Different Preferences
16.4 Horizon Effects and Uncertainty
16.5 Market Timing and Uncertainty
16.6 Stochastic Parameters
16.7 Robustness
16.8 Summary
17.1 Rational Bubbles
17.2 Tests of Rational Bubbles
17.3 Intrinsic Bubbles
17.4 Learning
17.5 Summary
18.1 Key Ideas
18.2 Beliefs and Preferences
18.3 Survival of Noise Traders
18.4 Anomalies
18.5 Corporate Finance
18.6 Summary
BEHAVIOURAL MODELS
19.1 Simple Model
19.4 Contagion
19.5 Beliefs and Expectations
19.6 Momentum and Newswatchers
19.7 Style Investing
19.8 Prospect Theory
19.9 Summary
20.1 Prices, Yields and the RVF
20.2 Theories of the Term Structure
20.3 Expectations Hypothesis
20.4 Summary
21.2 VAR Approach
21.4 Summary
22.1 Data and Cointegration
22.2 Variance Bounds Tests
22.3 Single-Equation Tests
22.5 Previous Studies
22.6 Summary
23.1 SDF Model
23.2 Single-Factor Affine Models
23.3 Multi-Factor Affine Models
23.4 Summary
24.1 Exchange Rate Regimes
24.2 PPP and LOOP
24.3 Covered-Interest Parity, CIP
24.4 Uncovered Interest Parity, UIP
24.6 Real Interest Rate Parity
24.7 Summary
25.1 Covered Interest Arbitrage
25.2 Uncovered Interest Parity
25.5 Peso Problems and Learning
25.6 Summary
28.2 Mapping Assets: Simplifications
28.3 Non-Parametric Measures
28.4 Monte Carlo Simulation
28.5 Alternative Methods
28.6 Summary
29.1 Volatility
29.2 What Influences Volatility?
29.3 Multivariate GARCH
29.5 Survey Data and Expectations
29.6 Technical Trading Rules
29.7 Summary
REFERENCES
Recommended Reading
INDEX
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Cuthbertson K. Nitzsche D. Quantitative Financial Economics.. Stocks Bonds and Foreign Exchange (2ed. Wiley 2004)(ISBN 0470091711)(O)(738s) FG

Cuthbertson K. Nitzsche D. Quantitative Financial Economics.. Stocks Bonds and Foreign Exchange (2ed. Wiley 2004)(ISBN 0470091711)(O)(738s) FG

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Published by: Tạ Tín on Jun 27, 2013
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07/15/2013

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