Financial Econometrics From Basics to Advanced Modeling Techniques [Hardcover]

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 probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed.

Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.

Abbreviations and Acronyms.

About the Authors.

CHAPTER 1: Financial Econometrics: Scope and Methods.

The Data Generating Process.

Financial Econometrics at Work.

Time Horizon of Models.

Applications.

Appendix: Investment Management Process.

Concepts Explained in this Chapter (in order of presentation).

CHAPTER 2: Review of Probability and Statistics.

Concepts of Probability.