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This is a thorough exploration of the models and methods of financial econometrics by one of the world's leading financial econometricians and is for students in economics, finance, statistics, mathematics, and engineering who are interested in financial applications. Based on courses taught around the world, the up-to-date content covers developments in econometrics and finance over the last twenty years while ensuring a solid grounding in the fundamental principles of the field. Care has been taken to link theory and application to provide real-world context for students. Worked exercises and empirical examples have also been included to make sure complicated concepts are solidly explained and understood.Read more
- Contains up-to-date coverage of topics reflecting recent developments in financial econometrics, including microstructure and asset pricing
- This book is based on a successful course taught in the UK, China and Australia
- Written by one of the world's leading econometricians
Reviews & endorsements
'Financial Econometrics: Models and Methods is an excellent book that provides rigorous and advanced econometric methods for testing financial theories. The book is very well structured and easy to follow. The author has successfully managed to simplify the theory of these methods, which makes the book highly recommended not only for Master's students, but also for practitioners who might be interested in using up-to-date econometric techniques for financial data analysis.' Abderrahim Taamouti, Durham UniversitySee more reviews
'This book is brilliant. Broad and self-contained, it provides a masterful treatment of classic and modern financial econometrics. An easy-to-read presentation of models, methods, and empirical applications takes the reader through an array of highly relevant topics ranging from return predictability to tail estimation. It strikes a perfect balance between finance and econometrics. I strongly recommend the book for anyone interested in financial econometrics. Loriano Mancini, Swiss Finance Institute and Università della Svizzera italiana
'Financial Econometrics: Models and Methods by Oliver Linton provides an up-to-date and comprehensive treatment of financial econometrics for masters-level and doctoral students in finance or financial economics. Despite the author's sterling reputation as a theoretical econometrician, the book does not get bogged down in abstract derivations; it has a 'hands-on' style, illustrating each new method with empirical results and encouraging students to use statistical software to apply the methods themselves.' Gregory Connor, Maynooth University
'This is an excellent postgraduate textbook for financial econometrics, written by a leading researcher in the field who serves in a variety of advisory roles in the financial markets. The book provides a comprehensive treatment of numerous recent developments that are not yet covered by existing texts, including those in up-to-date empirical regularities, market microstructure and multifactor models. Students will also find the included software routines particularly useful for research projects.' Bonsoo Koo, Monash University, Melbourne
'Oliver Linton is an expert in financial econometrics and he communicates his expertise very well in this book.' Ekaterina Smetanina, University of Chicago
'Finally - a book that combines modern financial theory and practice, economic theory, econometrics, time series, statistics and characteristics of financial data perfectly. This is a book written by a world leading scholar in the area. It is well suited for advanced undergraduate and graduate level courses on financial econometrics. I am looking forward to using it for my own teaching and research in the coming years.' Xiaohong Chen, Yale University, Connecticut
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- Date Published: July 2019
- format: Hardback
- isbn: 9781107177154
- length: 572 pages
- dimensions: 253 x 193 x 30 mm
- weight: 1.39kg
- contains: 96 b/w illus.
- availability: Available
Table of Contents
1. Introduction and background
2. Econometric background
3. Return predictability and the efficient markets hypothesis
4. Robust tests and tests of nonlinear predictability of returns
5. Empirical market microstructure
6. Event study analysis
7. Portfolio choice and testing the capital asset pricing model
8. Multifactor pricing models
9. Present value relations
10. Intertemporal equilibrium pricing
12. Continuous time processes
13. Yield curve
14. Risk management and tail estimation
15. Exercises and complements
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