Financial Econometrics: From Basics to Advanced Modeling Techniques (Frank J. Fabozzi Series)

 
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Financial Econometrics: From Basics to Advanced Modeling Techniques (Frank J. Fabozzi Series)

Beschreibung

Financial econometrics combines mathematical and statistical theory and techniques to understand and solve problems in financial economics. Modeling and forecasting financial time series, such as prices, returns, interest rates, financial ratios, and defaults, are important parts of this field.

In Financial Econometrics, you'll be introduced to this growing discipline and the concepts associated with it--from background material on probability theory and statistics to information regarding the properties of specific models and their estimation procedures.

With this book as your guide, you'll become familiar with:
* Autoregressive conditional heteroskedasticity (ARCH) and GARCH modeling
* Principal components analysis (PCA) and factor analysis
* Stable processes and ARMA and GARCH models with fat-tailed errors
* Robust estimation methods
* Vector autoregressive and cointegrated processes, including advanced estimation methods for cointegrated systems
* And much more

The experienced author team of Svetlozar Rachev, Stefan Mittnik, Frank Fabozzi, Sergio Focardi, and Teo Jasic not only presents you with an abundant amount of information on financial econometrics, but they also walk you through a wide array of examples to solidify your understanding of the issues discussed.

Filled with in-depth insights and expert advice, Financial Econometrics provides comprehensive coverage of this discipline and clear explanations of how the models associated with it fit into today's investment management process.

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