The Econometrics of Financial Markets

The Econometrics of Financial Markets

Sometimes you just have to clench your teeth and go for the differential matrix algebra. And the central limit theorems. Together with the maximum likelihood techniques. And the static mean variance portfolio theory. Not forgetting the dynamic asset pricing models. And these are just the tools you need before you can start making empirical inferences in financial economics.” So wrote Ruben Lee,...

Prices and Portfolio Choices in Financial Markets : Theory , Econometrics , Experiments

Many tests of asset-pricing models address only the pricing predictions, but these pricing predictions rest on portfolio choice predictions that seem obviously wrong. This paper suggests a new approach to asset pricing and portfolio choices based on unobserved heterogeneity. This approach yields the standard pricing conclusions of classical models but is consistent with very different portfolio...

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...