Financial Econometrics: From Basics to Advanced Modeling Techniques

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9780471784500: Financial Econometrics: From Basics to Advanced Modeling Techniques
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A comprehensive guide to financial econometrics

Financial econometrics is a quest for models that describefinancial time series such as prices, returns, interest rates, andexchange rates. In Financial Econometrics, readers will beintroduced to this growing discipline and the concepts and theoriesassociated with it, including background material on probabilitytheory and statistics. The experienced author team uses real-worlddata where possible and brings in the results of published researchprovided by investment banking firms and journals. FinancialEconometrics clearly explains the techniques presented and providesillustrative examples for the topics discussed.

Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currentlyChair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD(Munich, Germany) is Professor of Financial Econometrics at theUniversity of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope,PA) is an adjunct professor of Finance at Yale University’sSchool of Management. Sergio M. Focardi (Paris, France) is afounding partner of the Paris-based consulting firm The IntertekGroup. Teo Jasic, PhD, (Frankfurt, Germany) is a senior managerwith a leading international management consultancy firm inFrankfurt.

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From the Back Cover:

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

In Financial Econometrics, you'll be introduced to this growingdiscipline and the concepts associated with it—frombackground material on probability theory and statistics toinformation regarding the properties of specific models and theirestimation procedures.

With this book as your guide, you'll become familiarwith:

  • Autoregressive conditional heteroskedasticity (ARCH) and GARCHmodeling
  • Principal components analysis (PCA) and factor analysis
  • Stable processes and ARMA and GARCH models with fat-tailederrors
  • Robust estimation methods
  • Vector autoregressive and cointegrated processes, includingadvanced 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 youwith an abundant amount of information on financial econometrics,but they also walk you through a wide array of examples to solidifyyour understanding of the issues discussed.

Filled with in-depth insights and expert advice, FinancialEconometrics provides comprehensive coverage of this discipline andclear explanations of how the models associated with it fit intotoday's investment management process.

About the Author:

Svetlozar (Zari) T. Rachev completed his Ph.D. Degree in1979 from Moscow State (Lomonosov) University, and his Doctor ofScience Degree in 1986 from Steklov Mathematical Institute inMoscow. Currently he is Chair-Professor in Statistics, Econometricsand Mathematical Finance at the University of Karlsruhe in theSchool of Economics and Business Engineering. He is also ProfessorEmeritus at the University of California, Santa Barbara in theDepartment of Statistics and Applied Probability. He has publishedseven monographs, eight handbooks and special-edited volumes, andover 250 research articles. Professor Rachev is cofounder of BravoRisk Management Group specializing in financial risk-managementsoftware. Bravo Group was recently acquired by FinAnalytica forwhich he currently serves as Chief-Scientist.

Stefan Mittnik studied at the Technical UniversityBerlin, Germany, the University of Sussex, England, and atWashington University in St. Louis, where he received his doctoratedegree in economics. He is now Professor of Financial Econometricsat the University of Munich, Germany, and research director at theIfo Institute for Economic Research in Munich. Prior to joining theUniversity of Munich he taught at SUNYStony Brook, New York, theUniversity of Kiel, Germany, and held several visiting positions,including that of Fulbright Distinguished Chair at WashingtonUniversity in St. Louis. His research focuses on financialeconometrics, risk management, and portfolio optimization. Inaddition to purely academic interests, Professor Mittnik directsthe risk management program at the Center for Financial Studies inFrankfurt, Germany, and is co-founder of the Institut fürQuantitative Finanzanalyse (IQF) in Kiel, where he now chairs thescientific advisory board.

Frank J. Fabozzi is an Adjunct Professor of Finance andBecton Fellow in the School of Management at Yale University. Priorto joining the Yale faculty, he was a Visiting Professor of Financein the Sloan School at MIT. Professor Fabozzi is a Fellow of theInternational Center for Finance at Yale University and on theAdvisory Council for the Department of Operations Research andFinancial Engineering at Princeton University. He is the editor ofThe Journal of Portfolio Management and an associate editorof the The Journal of Fixed Income. He earned a doctorate ineconomics from the City University of New York in 1972. In 2002Professor Fabozzi was inducted into the Fixed Income AnalystsSociety’s Hall of Fame. He earned the designation ofChartered Financial Analyst and Certified Public Accountant. He hasauthored and edited numerous books in finance.

Sergio Focardi is a partner of The Intertek Group and amember of the Editorial Board of the Journal of PortfolioManagement. He is the (co-) author of numerous articles andbooks on financial modeling and risk management, including the CFAInstitute’s recent monograph Trends in QuantitativeFinance (co-authors Fabozzi and Kolm) and the award-winningbooks Financial Modeling of the Equity Market (co-authorsFabozzi and Kolm, Wiley) and The Mathematics of FinancialModeling and Investment Management (co-author Fabozzi, Wiley).Mr. Focardi has implemented long-short portfolio constructionapplications based on dynamic factor analysis and conducts researchin the econometrics of large equity portfolios and the modeling ofregime changes. He holds a degree in Electronic Engineering fromthe University of Genoa and a postgraduate degree in Communicationsfrom the Galileo Ferraris Electrotechnical Institute (Turin).

Teo Jasic earned his doctorate (Dr.rer.pol.) in economicsfrom the University of Karlsruhe in 2006. He also holds an MScdegree from the National University of Singapore and a Dipl.-Ing.degree from the University of Zagreb. Currently, he is aPostdoctoral Research Fellow at the Chair ofStatistics,Econometrics and Mathematical Finance at the University ofKarlsruhe in the School of Economics and Business Engineering. Heis also a senior manager in Financial & Risk Management Groupof a leading international management consultancy firm inFrankfurt, Germany. His current professional and research interestsare in the areas of asset management, risk management, andfinancial forecasting. Dr. Jasic has published more than a dozenresearch papers in internationally refereed journals.

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Book Description John Wiley Sons Inc, United States, 2007. Hardback. Condition: New. New. Language: English . Brand New Book ***** Print on Demand *****. A comprehensive guide to financial econometrics 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. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently 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) is an adjunct professor of Finance at Yale University s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt. Seller Inventory # APC9780471784500

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Book Description John Wiley Sons Inc, United States, 2007. Hardback. Condition: New. New. Language: English . Brand New Book ***** Print on Demand *****.A comprehensive guide to financial econometrics 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. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently 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) is an adjunct professor of Finance at Yale University s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt. Seller Inventory # APC9780471784500

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