Jianqing Fan is a statistician and financial econometrician. He is the current Frederick L. Moore '18 Professor of Finance and Professor of Statistics at Princeton University, New Jersey. His prizes include the Guggenheim Fellowship (2009), the Guy Medal in Silver (2014) and the COPSS Presidents' Award (2000). In 2012, he was elected Academician of Academia Sinica. He is a co-editor of the Journal of Econometrics and an associate editor of the Journal of the American Statistical Association.
Inhaltsangabe
1. Asset returns 2. Linear time series models 3. Heteroscedastic volatility models 4. Multivariate time series analysis 5. Efficient portfolios and capital asset pricing model 6. Factor pricing models 7. Portfolio allocation and risk assessment 8. Consumption-based CAPM 9. Present-value models References Author index Subject index.
1. Asset returns 2. Linear time series models 3. Heteroscedastic volatility models 4. Multivariate time series analysis 5. Efficient portfolios and capital asset pricing model 6. Factor pricing models 7. Portfolio allocation and risk assessment 8. Consumption-based CAPM 9. Present-value models References Author index Subject index.
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