Financial Econometrics (eBook)

Problems, Models, and Methods

Christian Gourieroux, Joann Jasiak (Autoren)

eBook Download: PDF

2018
520 Seiten
Princeton University Press (Verlag)
978-0-691-18702-0 (ISBN)

Infos

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 increasing variety and complexity of financial products. This has fueled the demand for people with advanced econometrics skills.For professionals and advanced graduate students pursuing greater expertise in econometric modeling, this is a superb guide to the field's frontier. With the goal of providing information that is absolutely up-to-date-essential in today's rapidly evolving financial environment-Gourieroux and Jasiak focus on methods related to foregoing research and those modeling techniques that seem relevant to future advances. They present a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies. Practitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors.This authoritative, state-of-the-art reference text is ideal for upper-level graduate students, researchers, and professionals seeking to update their skills and gain greater facility in using econometric models. All will benefit from the emphasis on practical aspects of financial modeling and statistical inference. Doctoral candidates will appreciate the inclusion of detailed mathematical derivations of the deeper results as well as the more advanced problems concerning high-frequency data and risk control. By establishing a link between practical questions and the answers provided by financial and statistical theory, the book also addresses the needs of applied researchers employed by financial institutions.

Autor

Christian Gourieroux is Director of the Laboratory for Finance and Insurance at the Center for Research in Economics and Statistics (CREST) in Paris. He is the coauthor of Statistics and Econometric Models, Simulation Based Econometric Methods, and Time Series and Dynamic Models. Joann Jasiak is Associate Professor in the Department of Economics, York University, Toronto.

Produkt-Details

• Erscheint lt. Verlag: 5.6.2018
• Reihe/Serie: Princeton Series in Finance
• Reihe/Serie: Princeton Series in Finance
• Verlagsort: Princeton
• Sprache: englisch
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
• Schlagworte: Accuracy and precision • algorithmic trading • Approximation • Arbitrage • arbitrage pricing theory • autocorrelation • autocovariance • Autoregressive conditional heteroskedasticity • Autoregressive model • Autoregressive–moving-average model • Call Auction • Capital Asset Pricing Model • Cash Flow • coefficient • Cointegration • conditional expectation • Conditional probability distribution • Conditional variance • Covariance matrix • Derivative • dividend • Dynamic factor • efficient-market hypothesis • Eigenvalues and Eigenvectors • Error Correction Model • Error Term • Estimator • Exchange Rate • Expectations hypothesis • Expected utility hypothesis • Fair value • Financial asset • Financial Econometrics • Forecasting • future value • Generalized method of moments • Geometric Brownian motion • geometric distribution • Girsanov theorem • Heavy-tailed distribution • Hedonic index • Heteroscedasticity • implied volatility • incomplete markets • inference • Infinitesimal generator (stochastic processes) • instrumental variable • Interest Rate • Joint probability distribution • jump process • Kalman Filter • kurtosis • Least Squares • Likelihood Function • linear model • linear regression • Loss Function • Marginal distribution • Market Maker • market portfolio • Markov Chain • Markov process • Martingale difference sequence • Martingale (probability theory) • mathematical finance • Normal distribution • Ordinary Least Squares • Parameter • Partial autocorrelation function • Prediction • Present Value • price change • Price index • Probability • Quantile • Quantity • Risk Aversion • Risk-neutral measure • Risk Premium • Seemingly unrelated regressions • Special case • state variable • stationary process • Statistical Inference • stochastic differential equation • stochastic discount factor • Stochastic volatility • summary statistics • Supply and Demand • Supply (economics) • test statistic • Time Series • unit root • Utility • Value at risk • Variable (mathematics) • Variance • vector autoregression • Volatility Clustering • volatility smile
• ISBN-10: 0-691-18702-9 / 0691187029
• ISBN-13: 978-0-691-18702-0 / 9780691187020