People working in the finance industry or researching the finance sector often use econometric techniques in a range of activities. For example in support of portfolio management, risk management and in the analysis of securities. The sort of topics that financial econometricians are typically familiar with include:
- tests of the random walk hypothesis
- event analysis
- the capital asset pricing model
- arbitrage pricing theory
- the term structure of interest rates
- dynamic models of economic equilibrium
- nonlinear financial models such as ARCH.
The Society for Financial Econometrics (SoFiE) was founded by some of the most respected and prominent people in Finance a full list of them can be found on the official society web page.
Official journal of the Society for Financial Econometrics (SoFiE) is Journal of Financial Econometrics.
The goal of Journal of Financial Econometrics is to reflect and advance the relationship between econometrics and finance, both at the methodological and at the empirical levels, Estimation, testing, learning, prediction and calibration in the framework of asset pricing or risk management represent the core focus. The scope includes topics relating to volatility processes, continuous-time processes, dynamic conditional moments, extreme values, long memory, dynamic mixture models, endogenous sampling transaction data, and microstructure of financial markets.
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