The elements of financial econometrics

著者

書誌事項

The elements of financial econometrics

Jianqing Fan, Qiwei Yao

Cambridge University Press, 2017

  • : hardback

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注記

Includes bibliographical references (p. [366]-374) and indexes

内容説明・目次

内容説明

Financial econometrics is an interdisciplinary subject that uses statistical methods and economic theory to address a variety of quantitative problems in finance. This compact, master's-level textbook focuses on methodology and includes real financial data illustrations throughout. The mathematical level is purposely kept moderate, allowing the power of the quantitative methods to be understood without too much technical detail. Wherever possible, the authors indicate where to find the relevant R codes to implement the various methods. This book grew out of a course at Princeton University which is one of the world's flagship programs in computational finance and financial engineering. It will therefore be useful for those with an economics and finance background who are looking to sharpen their quantitative skills, and also for those with strong quantitative skills who want to learn how to apply them to finance.

目次

  • 1. Asset returns
  • 2. Linear time series models
  • 3. Heteroscedastic volatility models
  • 4. Multivariate time series analysis
  • 5. Efficient portfolios and capital asset pricing model
  • 6. Factor pricing models
  • 7. Portfolio allocation and risk assessment
  • 8. Consumption-based CAPM
  • 9. Present-value models
  • References
  • Author index
  • Subject index.

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