Finance: Financial Econometrics

Financial Econometrics

Picking stocks based on a regression-based prediction of their short-term returns is a dumb idea. This gives you a sense of how contrived the applications get in this book. Truth be told, financial econometrics is primarily for academics, but the authors have written for financial analysts. Their style is not theorem-proof-example. It is more example-example-example. Want to understand principal component analysis? The authors explain with an example ...

Forecasting Volatility
in the Financial Markets

John Knight and Stephen Satchell (Eds.)
		2007

For researchers or financial engineers, Knight and Satchell offer an edited collection of 15 articles on financial econometrics ... Read more

Financial Modeling Under Non-Gaussian Distributions

Not another fringe book pushing stable Paretian distributions, fractals and chaos theory, this scholarly text delves into practical non-normal distributions and heteroskedastic processes, including GARCH and stochastic volatility models. There is plenty of material on copulas and multi-variate GARCH. Applications include value-at-risk, portfolio optimization and financial engineering. The book is more scholarly than practical, but even practitioners will benefit from the wealth of modeling techniques and citations of recent scholarly literature ...

Fat-Tailed
and Skewed Asset Return Distributions

S. Rachev, C. Menn and F. Fabozzi
		2005

It has long been recognized that time series of asset returns exhibit positive sample excess kurtosis—they have "fat tails." This means that extreme market moves occur more frequently than would be expected with a normal distribution. In 1963, Benoit Mandelbrot proposed that returns should instead be modeled with stable Paretian distributions ... Read more

Asset Price Dynamics, Volatility, and Prediction

Stephen J. Taylor
		2005

This is a great book for someone—academic or practitioner—who is new to financial time series analysis and needs an accessible introduction. The book is actually a broad ranging survey of topics in financial econometrics. It is much like an updated version of Campbell, Lo and MacKinlay (1997) with excellent information on ARCH and stochastic volatility models ... Read more

Empirical Techniques in Finance

Ramaprasad Bhar and Shigeyuki Hamori
		2005

This is an excellent book with some serious flaws. I highly recommend it for certain readers. Read on to see if you are one of them.

The book is a hands-on introduction to financial time series analysis—also called financial econometrics. This is a technical subject, and there are no really good introductions. There are excellent texts for economists on time series analysis, but they cover econometrics without the "financial" ... Read more

Stochastic Volatility
Selected Readings

Neil Shephard
		2005

This edited collection of seminal research papers on stochastic volatility models is a cute idea. To place it in context, you need a little background. Back in 1995, ARCH/GARCH models were sweeping Wall Street. They were a hot topic in econometrics research, and their discoverer, Robert Engle, edited a collection of seminal papers on the topic ... Read more

The (Mis) Behavior of Markets

Mandelbrot is a scholar and career maverick. He is best known for discovering fractal geometry. Since the 1960s, he has promoted alternatives to the standard Brownian motion, efficient markets model of modern finance. He has been influential in a fringe sort of way, but his ideas have never gained mainstream traction. This book is part autobiography and part advertisement for Pareto stable distributions and fractal analysis directed to an unsophisticated (retail) investor audience. It is messianic, overblown and a fun read ...

Financial Market Risk

Fractal geometry, Pareto stable distributions, Hurst exponents, Fourier analysis, chaos theory: these are tools of a fringe element of finance largely founded by Benoit Mandelbrot around the idea that Brownian motion affords a too-simplistic model for asset price returns. Books on these topics tend to be sensational or even messianic, as one might expect of an innovative field ignored for so long. This book is different. It is a unified, mathematically rigorous treatment of these topics that will appeal to theoreticians and quantitative professionals ...

Financial Econometrics
Problems, Models, and Methods

Christia Gourieroux and Joann Jasiak
		2001

Financial econometrics is the adaptation of statistical and time series methods originally pioneered for economics (the field of econometrics) to financial applications. It is largely an academic—as opposed to practitioner—field, with applications found in studies of market efficiency, enhanced capital asset pricing models, and studies of market microstructure ... Read more

Market Models
A Guide to Financial Data Analysis

Carol Alexander
		2001

Alexander's Market Models is a practitioner-oriented text on various aspects of, and applications for, volatility and correlation modeling in financial markets. The book is divided into three parts ... Read more

The Econometric Modelling of Financial Time Series

Terence Mills
		1999

Now in its second edition, this is an excellent intermediate-level text on time series analysis for financial markets. Targeted to academics or theoretically inclined practitioners, the book offers a scholarly discussion of topics relevant to financial markets ... Read more

ARCH Models and Financial Applications

Christian Gourieroux
		1997

Gourieroux offers a nice balance of time series analysis and financial theory in this book on ARCH modeling in finance. Readers should be comfortable with time series analysis at the level of ... Read more

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ARCH: Selected Readings

Robert F. Engle (Ed.)
		1995

Robert Engle published the pioneering paper in ARCH in Econometrica in 1982. Since then, the field has grown explosively. Numerous papers have been written. Related models, including GARCH and EGARCH have been proposed. The methodologies have been implemented extensively in derivatives trading and risk management ... Read more