Looking for an evaluation copy?
This title is not currently available for evaluation. However, if you are interested in the title for your course we can consider offering an evaluation copy. To register your interest please contact email@example.com providing details of the course you are teaching.
Financial econometrics is an interdisciplinary subject that uses statistical methods and economic theory to address a variety of quantitative problems in finance. This compact, master's-level textbook focuses on methodology and includes real financial data illustrations throughout. The mathematical level is purposely kept moderate, allowing the power of the quantitative methods to be understood without too much technical detail. Wherever possible, the authors indicate where to find the relevant R codes to implement the various methods. This book grew out of a course at Princeton University which is one of the world's flagship programs in computational finance and financial engineering. It will therefore be useful for those with an economics and finance background who are looking to sharpen their quantitative skills, and also for those with strong quantitative skills who want to learn how to apply them to finance.Read more
- Includes practical examples which are illustrated with real financial data
- Integrates statistical analysis with R and provides students with easy access to R code
- Consists of two integrated parts, with the first four chapters based on time series aspects of financial econometrics and the last five chapters covering cross-sectional aspects
Reviews & endorsements
'The Elements of Financial Econometrics is a compact introduction to quantitative methods for financial professionals who want to improve their quantitative skill set. The book is a survey of the statistical tools and associated applications needed by those who seek to use quantitative methods and empirical rigor in their analyses.' Nick Ronalds, Financial Analysts Journal
Not yet reviewed
Be the first to review
Review was not posted due to profanity×
- Date Published: March 2017
- format: Hardback
- isbn: 9781107191174
- length: 392 pages
- dimensions: 250 x 175 x 23 mm
- weight: 0.91kg
- contains: 6 b/w illus. 92 colour illus. 26 tables 90 exercises
- availability: In stock
Table of Contents
1. Asset returns
2. Linear time series models
3. Heteroscedastic volatility models
4. Multivariate time series analysis
5. Efficient portfolios and capital asset pricing model
6. Factor pricing models
7. Portfolio allocation and risk assessment
8. Consumption-based CAPM
9. Present-value models
Welcome to the resources site
Here you will find free-of-charge online materials to accompany this book. The range of materials we provide across our academic and higher education titles are an integral part of the book package whether you are a student, instructor, researcher or professional.
Find resources associated with this titleYour search for '' returned .
Type Name Unlocked * Format Size
*This title has one or more locked files and access is given only to lecturers adopting the textbook for their class. We need to enforce this strictly so that solutions are not made available to students. To gain access to locked resources you either need first to sign in or register for an account.
These resources are provided free of charge by Cambridge University Press with permission of the author of the corresponding work, but are subject to copyright. You are permitted to view, print and download these resources for your own personal use only, provided any copyright lines on the resources are not removed or altered in any way. Any other use, including but not limited to distribution of the resources in modified form, or via electronic or other media, is strictly prohibited unless you have permission from the author of the corresponding work and provided you give appropriate acknowledgement of the source.
If you are having problems accessing these resources please email firstname.lastname@example.org
Sorry, this resource is locked
Please register or sign in to request access. If you are having problems accessing these resources please email email@example.comRegister Sign in
You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner www.ebooks.com. Please see the permission section of the www.ebooks.com catalogue page for details of the print & copy limits on our eBooks.Continue ×