Financial econometrics

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.

External links

• Journal of Financial Econometrics
• The Society for Financial Econometrics (SoFiE)