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" Econometric analysis of financial markets. "
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BL
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| Record Number
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749011
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| Doc. No
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b568968
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| Title & Author
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Econometric analysis of financial markets.
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| Publication Statement
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[Place of publication not identified] : Physica Springer, 2013
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| ISBN
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3642486665
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: 9783642486661
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| Contents
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Some Pitfalls in Using Empirical Autocorrelations to Test for Zero Correlation among Common Stock Returns.- Temporal Aggregation of Time-Series.- On Long- and Short-Run Purchasing Power Parity.- Cointegration and the Monetary Model of the Exchange Rate.- Does Cointegration Matter in the Empirical Analysis of the CAPM?.- Constructing an Empirical Model for Swiss Franc Exchange Rates and Interest Rate Differentials.- Frequency Domain Analysis of Euromarket Interest Rates.- Structuring Volatile Swiss Interest Rates: Some Evidence on the Present Value Model and a VAR-VARCH Approach.- The Expectation Hypothesis and Interest Rate Volatility on the Euromarket: Some Empirical Results.- An Investigation of the Effect of Funding on the Slope of the Yield Curve.- Stylized Facts, Realignments and Investment Strategies in the EMS.- Risk and Return in January: Some UK Evidence.- Markov-Switching Models for Exchange-Rate Dynamics and the Pricing of Foreign-Currency Options.
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| LC Classification
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HG226.E266 2013
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