The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications

Frank J. Fabozzi · Sergio M. Focardi · Svetlozar T. Rachev · Bala G. Arshanapalli

Mar 2014 · Sold by John Wiley & Sons

About this ebook

An accessible guide to the growing field of financial econometrics

As finance and financial products have become more complex, financial econometrics has emerged as a fast-growing field and necessary foundation for anyone involved in quantitative finance. The techniques of financial econometrics facilitate the development and management of new financial instruments by providing models for pricing and risk assessment. In short, financial econometrics is an indispensable component to modern finance.

The Basics of Financial Econometrics covers the commonly used techniques in the field without using unnecessary mathematical/statistical analysis. It focuses on foundational ideas and how they are applied. Topics covered include: regression models, factor analysis, volatility estimations, and time series techniques.

• Covers the basics of financial econometrics—an important topic in quantitative finance
• Contains several chapters on topics typically not covered even in basic books on econometrics such as model selection, model risk, and mitigating model risk

Geared towards both practitioners and finance students who need to understand this dynamic discipline, but may not have advanced mathematical training, this book is a valuable resource on a topic of growing importance.

Ratings and reviews

Here is an applied financial econometrics book that is very refreshing and fills a long standing need for a book for applied financial analysts and practitioners. Developments of new techniques and technologies have given a new dimension to financial data analysis in the last couple of decades, but they have been accessible largely to the most sophisticated professionals. This book, rather than starting with a usual heavy dose of econometric theory, tries to initiate the reader with real problems from financial management. Even the most uninitiated, non-quantitative applied financial economist will feel comfortable from the very beginning by the instinctive style and building the necessary skills to carry out the real life practical applications. This will be a great textbook for senior undergraduate and a beginning graduate level. This will be the most valuable resource and reference for those practicing in financial industry and handling portfolio management, asset and derivative pricing, or hedging strategies. Authors have done a great job of detailing the models and their estimation using real life data. The book is a real bang for your buck!

About the author

FRANK J. FABOZZI is Professor of Finance at EDHEC Business School and Editor of the Journal of Portfolio Management.

SERGIO M. FOCARDI is Visiting Professor of Finance at Stony Brook University and a founding partner of the Paris-based consulting firm The Intertek Group.

SVETLOZAR T. RACHEV is Professor of Finance, College of Business and Center for Finance, Stony Brook University, and Chief-Scientist with FinAnalytica.

BALA G. ARSHANAPALLI is the Gallagher-Mills Chair of Business and Economics at Indiana University Northwest.