Financial Econometrics

A comprehensive guide to financial econometrics 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. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.

A comprehensive guide to financial econometricsFinancial econometrics is a quest for models that describefinancial time series such as prices, returns, interest rates, andexchange rates. In Financial Econometrics, readers will beintroduced to this growing discipline and the concepts and theoriesassociated with it, including background material on probabilitytheory and statistics. The experienced author team uses real-worlddata where possible and brings in the results of published researchprovided by investment banking firms and journals. FinancialEconometrics clearly explains the techniques presented and providesillustrative examples for the topics discussed.Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currentlyChair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD(Munich, Germany) is Professor of Financial Econometrics at theUniversity of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New HopePA) is an adjunct professor of Finance at Yale University'sSchool of Management. Sergio M. Focardi (Paris, France) is afounding partner of the Paris-based consulting firm The IntertekGroup. Teo Jasic, PhD, (Frankfurt, Germany) is a senior managerwith a leading international management consultancy firm inFrankfurt.