Data Science for Financial Econometrics

Financial Econometrics *

This is an introduction to a five-volume collection of papers on financial econometrics to be published by Edward Elgar Publishers in 2007. Financial econometrics is one of the fastest growing branches of economics today, both in academia and in industry. The increasing sophistication of financial models requires equally sophisticated methods for their empirical implementation, and in recent ye...

Financial Econometrics

Course notes for Financial Econometrics

This course intends to provide an overview of various areas of financial econometrics. It does not aim to be in any way comprehensive; instead a selection of topics is treated with a fair amount of detail, together with a sketch of related issues. As such, it intends to teach students the basics of a variety of technical econometric techniques and ideas that are important in quantitative resear...

High-Frequency Financial Econometrics

This book is fundamentally about the estimation of risk. At an intuitive level, risk is easy to understand: given an asset with a current price of say $100, what is the likelihood that at some future time—the risk horizon—its price will be less than $90? Or more than $120? And how does the probability of observing a price below $90 change as a function of the risk horizon? Such heuristic notion...

Essays in Financial Econometrics

In the first chapter, I estimate dynamic factors from the term structure of credit spreads and the term structure of equity option implied volatilities, and I provide a comprehensive characterization of the dynamic relationships among those credit spread factors and equity volatility factors. I find strong evidence that the volatility factors, especially the volatility level factor, Granger cau...