Financial Econometrics: Models and Methods

Linton, Oliver

ISBN 10: 1316630331 / ISBN 13: 9781316630334

Published by Cambridge University Press, 2019

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Synopsis:

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.

About the Author: Oliver Linton is a fellow of Trinity College and is Professor of Political Economy at the University of Cambridge. Formerly, Professor of Econometrics at the London School of Economics and Political Science and Professor of Economics at Yale University. He obtained his Ph.D. in Economics from the University of California, Berkeley in 1991. He has written more than a hundred articles on econometrics, statistics, and empirical finance. In 2015, he was a recipient of the Humboldt Research Award of the Alexander von Humboldt Foundation. He has been a Co-editor at the Journal of Econometrics since 2014. He is a Fellow of the Econometric Society, the Institute of Mathematical Statistics, the Society for Financial Econometrics, the British Academy, and the International Foundation of Applied Econometrics. He was a lead expert in the UK Government Office for Science Foresight project: 'The Future of Computer Trading in Financial Markets', which published in 2012. He has appeared as an expert witness for the Financial Services Authority (FSA) and the Financial Conduct Authority (FCA) in several cases involving market manipulation.

Bibliographic Details

Title: Financial Econometrics: Models and Methods
Publisher: Cambridge University Press
Publication Date: 2019
Binding: paperback
Condition: Good