Financial Econometrics
  • Author : Oliver Linton
  • Release Date : 31 January 2019
  • Publisher : Cambridge University Press
  • Genre : Business & Economics
  • Pages : 622
  • ISBN 13 : 9781107177154

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Book Description: Presents an up-to-date treatment of the models and methodologies of financial econometrics by one of the world's leading financial econometricians.

Financial Econometrics

Financial Econometrics

Author : Oliver Linton
Publisher : Cambridge University Press
Genre : Business & Economics
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Presents an up-to-date treatment of the models and methodologies of financial econometrics by one of the world's leading financial econometricians....

Handbook of Financial Econometrics

Handbook of Financial Econometrics

Author : Yacine Ait-Sahalia,Lars Peter Hansen
Publisher : Elsevier
Genre : Business & Economics
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This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine ...

Financial Economics and Econometrics

Financial Economics and Econometrics

Author : Nikiforos T. Laopodis
Publisher : Routledge
Genre : Business & Economics
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Financial Economics and Econometrics provides an overview of the core topics in theoretical and empirical finance, with an emphasis on applications and interpreting results. Structured in five parts, the book covers financial data and univariate models; asset returns; interest rates, yields and spreads; volatility and correlation; and corporate finance and ...

Financial Econometrics

Financial Econometrics

Author : Peijie Wang
Publisher : Routledge
Genre : Business & Economics
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This book provides an essential toolkit for all students wishing to know more about the modelling and analysis of financial data. Applications of econometric techniques are becoming increasingly common in the world of finance and this second edition of an established text covers the following key themes:- unit roots, ...

Financial Econometrics  Mathematics and Statistics

Financial Econometrics Mathematics and Statistics

Author : Cheng-Few Lee,Hong-Yi Chen,John Lee
Publisher : Springer
Genre : Business & Economics
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This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics introduces tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting ...

The Elements of Financial Econometrics

The Elements of Financial Econometrics

Author : Jianqing Fan,Qiwei Yao
Publisher : Cambridge University Press
Genre : Business & Economics
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A compact, master's-level textbook on financial econometrics, focusing on methodology and including real financial data illustrations throughout. The mathematical level is purposely kept moderate, allowing the power of the quantitative methods to be understood without too much technical detail....

Financial Econometrics

Financial Econometrics

Author : Christian Gourieroux,Joann Jasiak
Publisher : Princeton University Press
Genre : Business & Economics
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Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a fast expansion of financial markets and an ...

The Econometrics of Financial Markets

The Econometrics of Financial Markets

Author : John Y. Campbell,Andrew W. Lo,A. Craig MacKinlay
Publisher : Princeton University Press
Genre : Business & Economics
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The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and ...

Financial Econometrics

Financial Econometrics

Author : Svetlozar T. Rachev,Stefan Mittnik,Frank J. Fabozzi,Sergio M. Focardi,Teo Jašić
Publisher : John Wiley & Sons
Genre : Business & Economics
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A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on ...

Introductory Econometrics for Finance

Introductory Econometrics for Finance

Author : Chris Brooks
Publisher : Cambridge University Press
Genre : Business & Economics
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This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. Key features: • Thoroughly revised and updated, including two new chapters on panel data and limited dependent variable models • Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the ...

High Frequency Financial Econometrics

High Frequency Financial Econometrics

Author : Luc Bauwens,Winfried Pohlmeier,David Veredas
Publisher : Springer Science & Business Media
Genre : Business & Economics
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Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The ...

High Frequency Financial Econometrics

High Frequency Financial Econometrics

Author : Yacine Aït-Sahalia,Jean Jacod
Publisher : Princeton University Press
Genre : Business & Economics
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High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological ...

The Basics of Financial Econometrics

The Basics of Financial Econometrics

Author : Frank J. Fabozzi,Sergio M. Focardi,Svetlozar T. Rachev,Bala G. Arshanapalli
Publisher : John Wiley & Sons
Genre : Business & Economics
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An accessible guide to the growing field of financial econometrics As finance and financial products have become more complex, financial econometrics has emerged as a fast-growing field and necessary foundation for anyone involved in quantitative finance. The techniques of financial econometrics facilitate the development and management of new financial instruments ...

Handbook Of Financial Econometrics  Mathematics  Statistics  And Machine Learning  In 4 Volumes

Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes

Author : Cheng-few Lee,John C Lee
Publisher : World Scientific
Genre : Business & Economics
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This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of ...

Financial Econometrics Modeling  Market Microstructure  Factor Models and Financial Risk Measures

Financial Econometrics Modeling Market Microstructure Factor Models and Financial Risk Measures

Author : G. Gregoriou,R. Pascalau
Publisher : Springer
Genre : Business & Economics
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This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets....