The volume as a whole makes a significant new contribution to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Stefan Mittnik, PhD Munich, Germany is Professor of Financial Econometrics at the University of Munich. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. A landmark in its coverage, this volume should propel financial econometric research for years. 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. 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. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. This updated edition includes new chapters which cover limited dependent variables and panel data. This compact, master's-level textbook focuses on methodology and includes real financial data illustrations throughout. Focardi Paris, France is a founding partner of the Paris-based consulting firm The Intertek Group. In particular, it investigates the market microstructure of foreign exchange and futures markets.
This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. Rachev, PhD Karlsruhe, Germany is currently Chair-Professor at the University of Karlsruhe. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes.
Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike. Each of the papers blends theoretical and empirical issues, enabling theoreticians and practitioners alike to keep up with the most recent developments in the field. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. 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. .
The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. It continues to be an essential guide for all graduate and advanced undergraduate students of econometrics and finance. Wherever possible, the authors indicate where to find the relevant R codes to implement the various methods. The mathematical level is purposely kept moderate, allowing the power of the quantitative methods to be understood without too much technical detail. This comprehensive book introduces readers to these emerging methods and tools of analysis. Teo Jasic, PhD, Frankfurt, Germany is a senior manager with a leading international management consultancy firm in Frankfurt.
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