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.
General
Is the information for this product incomplete, wrong or inappropriate?
Let us know about it.
Does this product have an incorrect or missing image?
Send us a new image.
Is this product missing categories?
Add more categories.
Review This Product
No reviews yet - be the first to create one!