Edhec-Risk
Finance and Economics
Financial Econometrics: From Basics to Advanced Modeling Techniques

Authors: Svetlozar T. Rachev, Stefan Mittnik, Frank J. Fabozzi, Sergio M. Focardi, Teo Jašic
Editions: Wiley
Pages: 576 pages
Date: January 2007
 
 
 
Summary
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.

About the Authors:

Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is 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) was an adjunct professor of Finance at Yale University’s School of Management at the time of writing, and currently Professor of Finance at EDHEC Business School. Sergio M. Focardi was a founding partner of the Paris-based consulting firm The Intertek Group at the time of writing, and currently Professor of Finance at EDHEC Business School. Teo Jašić PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.
 
 

URL for this document:
http://www.edhec-risk.com/edhec_publications/books/RISKBook.2009-11-04.5648

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