Authors
John Y Campbell, Andrew W Lo, A Craig MacKinlay
Publication date
1997
Source
The Econometrics of Financial Markets
Publisher
Princeton University Press
Description
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 …
Total citations
Scholar articles
JY Campbell, AW Lo, AC MacKinlay, RF Whitelaw - Macroeconomic Dynamics, 1998
JY Campbell, W Andrew - The econometrics of financial markets, 1997
JY Campbell, AW Lo, AC MacKinlay - The econometrics of financial markets, 1997
JY Campbell - Princeton: Princeton University Press. Number of ISO, 2004
L Campbell, A Lo - The econometrics of financial markets, 1997
JY Campbell, W Andrew
JY Campbell, AW Lo, AC MacKinlay - 1994
JY Campbell, AW Lo, AC MacKinlay - The Econom. of Financ. Markets, 1993
IY Campbell, AW Lo, AC MacKinley - The econometrics of financial markets, 1997
JY Campbell, AW Lo, AC MacKinlay - The Econometrics of Financial Markets, 1997
JW Campbell, AW Lo, AC MacKinlay - 1997
JY Campbell, AWC Lo, AC MacKinlay - The Econometrics of Financial Markets; Princeton …, 1997