Financial econometrics brings ﬁnancial theory and econometric methods together with the power of data to advance understanding of the global ﬁnancial universe upon which all modern economies depend. Financial Econometric Modeling is an introductory text that meets the learning challenge of integrating theory, measurement, data, and software to understand the modern world of ﬁnance. Empirical applications with ﬁnancial data play a central position in this book’s exposition. Each chapter is a how-to guide that takes readers from ideas and theories through to the practical realities of modeling, interpreting, and forecasting ﬁnancial data. The book reaches out to a wide audience of students, applied researchers, and industry practitioners, guiding readers of diverse backgrounds on the models, methods, and empirical practice of modern ﬁnancial econometrics.
Financial Econometric Modeling delivers a self-contained ﬁrst course in ﬁnancial econometrics, providing foundational ideas from ﬁnancial theory and relevant econometric technique. From this foundation, the book covers a vast arena of modern ﬁnancial econometrics that opens up empirical applications with data of the many diﬀerent types that are now generated in ﬁnancial markets. Every chapter follows the same principle ensuring that all results reported in the book may be reproduced using standard econometric software packages such as Stata or EViews, with a full set of data and programs provided to ensure easy implementation.