The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications
Author(s): Frank J. Fabozzi (Author), Sergio M. Focardi (Author), Svetlozar T. Rachev (Author), Bala G. Arshanapalli (Author), Markus Hoechstoetter (Editor)
Publisher: Wiley
Publication Date: March 24, 2014
Edition: 1st
Language: English
Print length: 448 pages
ISBN-10: 111857320X
ISBN-13: 9781118573204
Book Description
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 by providing models for pricing and risk assessment. In short, financial econometrics is an indispensable component to modern finance.
The Basics of Financial Econometrics covers the commonly used techniques in the field without using unnecessary mathematical/statistical analysis. It focuses on foundational ideas and how they are applied. Topics covered include: regression models, factor analysis, volatility estimations, and time series techniques.
Covers the basics of financial econometrics―an important topic in quantitative finance
Contains several chapters on topics typically not covered even in basic books on econometrics such as model selection, model risk, and mitigating model risk
Geared towards both practitioners and finance students who need to understand this dynamic discipline, but may not have advanced mathematical training, this book is a valuable resource on a topic of growing importance.
Editorial Reviews
From the Inside Flap
The BASICS of FINANCIAL ECONOMETRICS
With the growth in quantitative finance, financial econometrics has emerged as a vitally important field, providing the analytical models to address complex financial product structures, valuation, and risk assessment. The Basics of Financial Econometrics covers the commonly used techniques in the field without using unnecessary mathematical or statistical proofs and derivations, and with a clear emphasis on basic ideas and how to apply them.
Financial econometrics is an indispensable component to modern finance and a crucial body of knowledge for financial professionals. The Basics of Financial Econometrics addresses the key relationship between econometrics and quantitative finance, and provides practical examples that use real-world financial data. Areas covered include:
Building financial models
Asset pricing
Derivative pricing
Portfolio allocation
Hedging strategies
Model selection
Strategy development
Written for both seasoned financial professionals and advanced students of finance, The Basics of Financial Econometrics provides a complete, real-world overview that provides a strong foundation in financial econometrics.
From the Back Cover
The BASICS of FINANCIAL ECONOMETRICS
With the growth in quantitative finance, financial econometrics has emerged as a vitally important field, providing the analytical models to address complex financial product structures, valuation, and risk assessment. The Basics of Financial Econometrics covers the commonly used techniques in the field without using unnecessary mathematical or statistical proofs and derivations, and with a clear emphasis on basic ideas and how to apply them.
Financial econometrics is an indispensable component to modern finance and a crucial body of knowledge for financial professionals. The Basics of Financial Econometrics addresses the key relationship between econometrics and quantitative finance, and provides practical examples that use real-world financial data. Areas covered include:
Building financial models
Asset pricing
Derivative pricing
Portfolio allocation
Hedging strategies
Model selection
Strategy development
Written for both seasoned financial professionals and advanced students of finance, The Basics of Financial Econometrics provides a complete, real-world overview that provides a strong foundation in financial econometrics.
About the Author
FRANK J. FABOZZI is Professor of Finance at EDHEC Business School and Editor of the Journal of Portfolio Management.
SERGIO M. FOCARDI is Visiting Professor of Finance at Stony Brook University and a founding partner of the Paris-based consulting firm The Intertek Group.
SVETLOZAR T. RACHEV is Professor of Finance, College of Business and Center for Finance, Stony Brook University, and Chief-Scientist with FinAnalytica.
BALA G. ARSHANAPALLI is the Gallagher-Mills Chair of Business and Economics at Indiana University Northwest.
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