Financial Econometrics - Rachev, Svetlozar T.;Mittnik, Stefan;Fabozzi, Frank J.
99,99 €
inkl. MwSt.
Versandkostenfrei*
Versandfertig in über 4 Wochen
payback
50 °P sammeln
  • Gebundenes Buch

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…mehr

Andere Kunden interessierten sich auch für
Produktbeschreibung
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.
Financial econometrics combines mathematical and statistical theory and techniques to understand and solve problems in financial economics. Modeling and forecasting financial time series, such as prices, returns, interest rates, financial ratios, and defaults, are important parts of this field.

In Financial Econometrics, you'll be introduced to this growing discipline and the concepts associated with it--from background material on probability theory and statistics to information regarding the properties of specific models and their estimation procedures.

With this book as your guide, you'll become familiar with:
_ Autoregressive conditional heteroskedasticity (ARCH) and GARCH modeling
_ Principal components analysis (PCA) and factor analysis
_ Stable processes and ARMA and GARCH models with fat-tailed errors
_ Robust estimation methods
_ Vector autoregressive and cointegrated processes, including advanced estimation methods for cointegrated systems
_ And much more

The experienced author team of Svetlozar Rachev, Stefan Mittnik, Frank Fabozzi, Sergio Focardi, and Teo Jasic not only presents you with an abundant amount of information on financial econometrics, but they also walk you through a wide array of examples to solidify your understanding of the issues discussed.

Filled with in-depth insights and expert advice, Financial Econometrics provides comprehensive coverage of this discipline and clear explanations of how the models associated with it fit into today's investment management process.
Autorenporträt
Svetlozar T. Rachev, PhD, is Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering, Professor Emeritus at the University of California, Santa Barbara, and Chief Scientist of FinAnalytica. Stefan Mittnik is Professor of Financial Econometrics at the University of Munich, Research Director at the Ifo Institute for Economic Research in Munich, and Director of the Risk Management Program at the Center for Financial Studies in Frankfurt, Germany. Frank J. Fabozzi, PhD, CFA, CFP, is an Adjunct Professor of Finance at Yale University's School of Management and the Editor of the Journal of Portfolio Management. Sergio M. Focardi is a founding partner of the Paris-based consulting firm, The Intertek Group. Teo Jasic, PhD, is a senior manager with a leading international management consultancy firm in Frankfurt, Germany, and a Post-Doctoral Research Fellow at the Chair of Statistics, Econometrics, and Mathematical Finance at the University of Karlsruhe, Germany.