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A01=Christian Gourieroux
A01=Joann Jasiak
Age Group_Uncategorized
Age Group_Uncategorized
Arbitrage
Arbitrage pricing theory
Author_Christian Gourieroux
Author_Joann Jasiak
Autocorrelation
Autocovariance
automatic-update
Autoregressive conditional heteroskedasticity
Autoregressive model
Autoregressive–moving-average model
Capital asset pricing model
Cash flow
Category1=Non-Fiction
Category=KCH
Category=KFF
Coefficient
Conditional expectation
Conditional probability distribution
Conditional variance
COP=United States
Delivery_Delivery within 10-20 working days
Derivative
Dynamic factor
Eigenvalues and eigenvectors
eq_business-finance-law
eq_isMigrated=2
eq_non-fiction
Error term
Estimator
Exchange rate
Expectations hypothesis
Fair value
Financial asset
Financial econometrics
Forecasting
Generalized method of moments
Geometric Brownian motion
Girsanov theorem
Heteroscedasticity
Implied volatility
Incomplete markets
Inference
Instrumental variable
Interest rate
Joint probability distribution
Kalman filter
Language_English
Least squares
Likelihood function
Linear model
Linear regression
Marginal distribution
Market maker
Market portfolio
Markov chain
Martingale (probability theory)
Mathematical finance
Normal distribution
Ordinary least squares
PA=Available
Parameter
Partial autocorrelation function
Prediction
Present value
Price Change
Price index
Price_€50 to €100
Probability
PS=Active
Quantity
Risk aversion
Risk-neutral measure
softlaunch
Stationary process
Statistical inference
Stochastic differential equation
Stochastic discount factor
Stochastic volatility
Supply (economics)
Time series
Unit root
Utility
Variable (mathematics)
Variance
Vector autoregression
Volatility smile

Financial Econometrics

English

By (author): Christian Gourieroux Joann Jasiak

Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a fast expansion of financial markets and an increasing variety and complexity of financial products. This has fueled the demand for people with advanced econometrics skills.

For professionals and advanced graduate students pursuing greater expertise in econometric modeling, this is a superb guide to the field's frontier. With the goal of providing information that is absolutely up-to-date—essential in today's rapidly evolving financial environment—Gourieroux and Jasiak focus on methods related to foregoing research and those modeling techniques that seem relevant to future advances. They present a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies. Practitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors.

This authoritative, state-of-the-art reference text is ideal for upper-level graduate students, researchers, and professionals seeking to update their skills and gain greater facility in using econometric models. All will benefit from the emphasis on practical aspects of financial modeling and statistical inference. Doctoral candidates will appreciate the inclusion of detailed mathematical derivations of the deeper results as well as the more advanced problems concerning high-frequency data and risk control. By establishing a link between practical questions and the answers provided by financial and statistical theory, the book also addresses the needs of applied researchers employed by financial institutions.

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Current price €92.99
Original price €93.99
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A01=Christian GourierouxA01=Joann JasiakAge Group_UncategorizedArbitrageArbitrage pricing theoryAuthor_Christian GourierouxAuthor_Joann JasiakAutocorrelationAutocovarianceautomatic-updateAutoregressive conditional heteroskedasticityAutoregressive modelAutoregressive–moving-average modelCapital asset pricing modelCash flowCategory1=Non-FictionCategory=KCHCategory=KFFCoefficientConditional expectationConditional probability distributionConditional varianceCOP=United StatesDelivery_Delivery within 10-20 working daysDerivativeDynamic factorEigenvalues and eigenvectorseq_business-finance-laweq_isMigrated=2eq_non-fictionError termEstimatorExchange rateExpectations hypothesisFair valueFinancial assetFinancial econometricsForecastingGeneralized method of momentsGeometric Brownian motionGirsanov theoremHeteroscedasticityImplied volatilityIncomplete marketsInferenceInstrumental variableInterest rateJoint probability distributionKalman filterLanguage_EnglishLeast squaresLikelihood functionLinear modelLinear regressionMarginal distributionMarket makerMarket portfolioMarkov chainMartingale (probability theory)Mathematical financeNormal distributionOrdinary least squaresPA=AvailableParameterPartial autocorrelation functionPredictionPresent valuePrice ChangePrice indexPrice_€50 to €100ProbabilityPS=ActiveQuantityRisk aversionRisk-neutral measuresoftlaunchStationary processStatistical inferenceStochastic differential equationStochastic discount factorStochastic volatilitySupply (economics)Time seriesUnit rootUtilityVariable (mathematics)VarianceVector autoregressionVolatility smile
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Product Details
  • Dimensions: 156 x 235mm
  • Publication Date: 13 Dec 2022
  • Publisher: Princeton University Press
  • Publication City/Country: US
  • Language: English
  • ISBN13: 9780691242361

About Christian GourierouxJoann Jasiak

Christian Gourieroux is Director of the Laboratory for Finance and Insurance at the Center for Research in Economics and Statistics (CREST) in Paris. He is the coauthor of Statistics and Econometric Models, Simulation Based Econometric Methods, and Time Series and Dynamic Models. Joann Jasiak is Associate Professor in the Department of Economics, York University, Toronto.

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