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, Ph D (Karlsruhe, Germany) is currently
Chair-Professor at the University of Karlsruhe. Stefan Mittnik, Ph D
(Munich, Germany) is Professor of Financial Econometrics at the
University of Munich. Frank J. Fabozzi, Ph D, 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, Ph D, (Frankfurt, Germany) is a senior manager
with a leading international management consultancy firm in
Frankfurt.
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