Financial Econometrics
Models and Methods
Published on 21. February 2019
Book
Hardback
572 pages
978-1-107-17715-4 (ISBN)
Description
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.
Reviews / Votes
'Financial Econometrics: Models and Methods is an excellent book that provides rigorous and advanced econometric methods for testing financial theories. The book is very well structured and easy to follow. The author has successfully managed to simplify the theory of these methods, which makes the book highly recommended not only for Master's students, but also for practitioners who might be interested in using up-to-date econometric techniques for financial data analysis.' Abderrahim Taamouti, Durham University 'This book is brilliant. Broad and self-contained, it provides a masterful treatment of classic and modern financial econometrics. An easy-to-read presentation of models, methods, and empirical applications takes the reader through an array of highly relevant topics ranging from return predictability to tail estimation. It strikes a perfect balance between finance and econometrics. I strongly recommend the book for anyone interested in financial econometrics. Loriano Mancini, Swiss Finance Institute and Universita della Svizzera italiana 'Financial Econometrics: Models and Methods by Oliver Linton provides an up-to-date and comprehensive treatment of financial econometrics for masters-level and doctoral students in finance or financial economics. Despite the author's sterling reputation as a theoretical econometrician, the book does not get bogged down in abstract derivations; it has a 'hands-on' style, illustrating each new method with empirical results and encouraging students to use statistical software to apply the methods themselves.' Gregory Connor, Maynooth University 'This is an excellent postgraduate textbook for financial econometrics, written by a leading researcher in the field who serves in a variety of advisory roles in the financial markets. The book provides a comprehensive treatment of numerous recent developments that are not yet covered by existing texts, including those in up-to-date empirical regularities, market microstructure and multifactor models. Students will also find the included software routines particularly useful for research projects.' Bonsoo Koo, Monash University, Melbourne 'Oliver Linton is an expert in financial econometrics and he communicates his expertise very well in this book.' Ekaterina Smetanina, University of Chicago 'Finally - a book that combines modern financial theory and practice, economic theory, econometrics, time series, statistics and characteristics of financial data perfectly. This is a book written by a world leading scholar in the area. It is well suited for advanced undergraduate and graduate level courses on financial econometrics. I am looking forward to using it for my own teaching and research in the coming years.' Xiaohong Chen, Yale University, Connecticut '... this book is a good companion with added clarity ... The reader will appreciate his strong theoretical guide for any research replication.' Mark S. Rzepczynski, Enterprising Investor (https://blogs.cfainstitute.org/investor/) 'The key strength of the book lies in its careful presentation of the mathematical foundations of financial econometrics, using rigorous yet accessible style. It would be particularly appreciated by students who are not intimidated by a more technical approach. For courses that are targeted towards a broad range of student background and interests, this book could be a very good complement to a standard textbook, which would facilitate interested students to acquire a deeper understanding of financial econometric methodologies.' Colin Rogers, Economic RecordMore details
Language
English
Place of publication
Cambridge
United Kingdom
Target group
Professional and scholarly
Illustrations
Worked examples or Exercises; 96 Line drawings, black and white
Dimensions
Height: 260 mm
Width: 208 mm
Thickness: 36 mm
Weight
1458 gr
ISBN-13
978-1-107-17715-4 (9781107177154)
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Schweitzer Classification
Other editions
Additional editions
E-Book
02/2019
Cambridge University Press
€44.49
Available for download
Book
02/2019
Cambridge University Press
€79.00
Shipment within 15-20 days
E-Book
02/2019
Cambridge University Press
€52.99
Available for download
Person
Oliver Linton is a fellow of Trinity College and is Professor of Political Economy at Cambridge University. Formerly, Professor of Econometrics at the London School of Economics and Professor of Economics at Yale University. He obtained his PhD in Economics from the University of California at 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 U.K. 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 FSA and the FCA in several cases involving market manipulation.
Content
1. Introduction and background; 2. Econometric background; 3. Return predictability and the efficient markets hypothesis; 4. Robust tests and tests of nonlinear predictability of returns; 5. Empirical market microstructure; 6. Event study analysis; 7. Portfolio choice and testing the capital asset pricing model; 8. Multifactor pricing models; 9. Present value relations; 10. Intertemporal equilibrium pricing; 11. Volatility; 12. Continuous time processes; 13. Yield curve; 14. Risk management and tail estimation; 15. Exercises and complements; 16. Appendix.