Financial econometrics

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Financial econometrics has been defined as the application of statistical techniques to problems in finance.[1] 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:

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.

Notes[edit]

  1. ^ Brooks, Chris (2014). Introductory Econometrics for Finance (3rd ed.). Cambridge: Cambridge University Press. p. 2. ISBN 9781107661455. 
  2. ^ Wang, Peijie (2003). Financial Econometrics: Methods and Models. Routledge. ISBN 978-0-415-22455-0. 

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