Notes on 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...

Lecture Notes on ADVANCED ECONOMETRICS

Econometrics has become an integral part of training in modern economics and business. Together with microeconomics and macroeconomics, econometrics has been taught as one of the three core courses in most undergraduate and graduate economic programs in North America. In China, the importance of econometrics has been increasingly recognized and econometric tools and methods have been widely emp...

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

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...