Financial Econometrics: Problems, Models, and Methods

Financial econometrics is a success story in economics, using data and statistical inference methods to address rigorous economic problems. It has recently expanded in finance, fueled by the demand for advanced econometrics skills. Gourieroux and Jasiak's book provides an up-to-date guide to the field, focusing on methods related to preceding research and those modeling techniques relevant to future advances. It employs a wide variety of data sampled at frequencies ranging from intraday to monthly, and includes graphical diagnostics to eradicate misspecification errors. The book is ideal for upper-level graduate students, researchers, and professionals seeking to update their skills and gain greater facility in using econometric models, and also addresses the needs of applied researchers employed by financial institutions.

Format: Paperback / softback
Length: 528 pages
Publication date: 03 January 2023
Publisher: Princeton University Press

Financial econometrics is a remarkable success story in the field of economics, leveraging data and statistical inference methods alongside structural and descriptive modeling to tackle complex economic problems. While its development within the realm of finance is relatively recent, it has coincided with a rapid expansion of financial markets and the emergence of a diverse array of financial products. This surge in demand for individuals with advanced econometrics skills has propelled the field forward.

For professionals and advanced graduate students seeking to delve deeper into econometric modeling, this comprehensive guide serves as a valuable resource. The authors, Gourieroux and Jasiak, aim to provide the most up-to-date information essential in today's rapidly evolving financial landscape. Their focus lies in methods related to previous research and those that hold promise for future advancements. A balanced synthesis of financial theory and statistical methodology is presented, recognizing that any model is a simplified representation of reality and that econometric methods must be tailored to specific cases.

To enhance the practicality of the material, a wide variety of data, sampled at frequencies ranging from intraday to monthly, is utilized. These data encompass time series representing the European and North American markets for stocks, bonds, and foreign currencies. Practitioners are encouraged to maintain a critical eye and are equipped with graphical diagnostics to identify and rectify misspecification errors.

This authoritative and cutting-edge reference text is particularly suited for upper-level graduate students, researchers, and professionals seeking to enhance their econometric modeling skills and gain greater proficiency. The emphasis on practical aspects of financial modeling and statistical techniques will benefit all readers, ensuring they are well-prepared to navigate the complex world of finance.

Dimension: 235 x 156 (mm)
ISBN-13: 9780691242361