Financial econometrics
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People working in the finance industry 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.[1]
[edit] Notes
- ^ Wang, Peijie (2003) Financial Econometrics: Methods and Models, Routledge. ISBN 9780415224550
[edit] External links
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