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Synopsis
"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
Anthony F. Gyles - RSS
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.