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Asset Price Dynamics, Volatility, and Prediction Kindle Edition

5 out of 5 stars 3 customer reviews

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Length: 544 pages

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Editorial Reviews

Review

This book provides thorough, well-presented and concise coverage of asset price dynamics and manages to combine new developments, established issues, theory and application in a practical and refreshing manner. It is well illustrated with time series graphs and tables and has a good balance between theoretical concepts and their practical applications with a mathematical treatment that is not too specialized.

From the Back Cover

"I enjoyed reading this book, which offers a close to unique merging of detailed and careful empirics with the finance and time series theory associated with the study of asset pricing dynamics."--Neil Shephard, University of Oxford

"This well written text nicely balances new developments in various areas of theoretical and empirical finance, and it explains in a concise way how various models and methods are related."--Philip Hans Franses, Professor of Applied Econometrics, Econometric Institute, Erasmus University, Rotterdam


Product Details

  • File Size: 9387 KB
  • Print Length: 544 pages
  • Publisher: Princeton University Press (February 11, 2011)
  • Publication Date: February 11, 2011
  • Sold by: Amazon Digital Services LLC
  • Language: English
  • ASIN: B004QOB424
  • Text-to-Speech: Enabled
  • X-Ray:
  • Word Wise: Not Enabled
  • Lending: Not Enabled
  • Enhanced Typesetting: Not Enabled
  • Amazon Best Sellers Rank: #1,338,636 Paid in Kindle Store (See Top 100 Paid in Kindle Store)
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Top Customer Reviews

Format: Paperback
I've read chapters 1-4 and 8-10. I'm a mathematician and I'm starting now to deal with econometrics. Until now I'm enjoying it because it gives me an idea of the possible problems dealing with real data and techniques to use.
On the other hand it sometimes become very general just making references for the details what can be bad if the reader is a mathematician or a beginner econometrician.
What I enjoyed the most until now were chapters 4 (discussion of returns in a real world and the excel estimations for GARCH in chap 9) especially comprehensive to people that never had to deal with data before.
In general it is a wonderfull book for obtaining an overview idea of finance by the econometricians point of view.
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Format: Hardcover
This book combines technicality and real-world example. Clear and concise, it covers most of the modern financial econometrics, moreover making it straightforward to go on on your own. Great book.
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Format: Paperback Verified Purchase
Item received in excellent order.
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