The Elements of Financial Econometrics

Cambridge University Press, 23 mrt. 2017 - 392 pagina's
Financial econometrics is an interdisciplinary subject that uses statistical methods and economic theory to address a variety of quantitative problems in finance. This compact, master's-level textbook focuses on methodology and includes 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. Wherever possible, the authors indicate where to find the relevant R codes to implement the various methods. This book grew out of a course at Princeton University which is one of the world's flagship programs in computational finance and financial engineering. It will therefore be useful for those with an economics and finance background who are looking to sharpen their quantitative skills, and also for those with strong quantitative skills who want to learn how to apply them to finance.

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Linear Time Series Models
Heteroscedastic Volatility Models
Multivariate Time Series Analysis
Efficient Portfolios and Capital Asset Pricing Model
Factor Pricing Models
Portfolio Allocation and Risk Assessment
Consumption based CAPM
Presentvalue Models
Author Index

Veelvoorkomende woorden en zinsdelen

Over de auteur (2017)

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.

Qiwei Yao is Professor of Statistics at the London School of Economics and Political Science. He is an associate editor for the Journal of the American Statistical Association and for the Journal of the Royal Statistical Society: Series B.

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