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The Elements of Financial Econometrics Jianqing Fan (Princeton University, New Jersey)

The Elements of Financial Econometrics By Jianqing Fan (Princeton University, New Jersey)

The Elements of Financial Econometrics by Jianqing Fan (Princeton University, New Jersey)


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Summary

A compact, master's-level textbook on financial econometrics, focusing on methodology and including real financial data illustrations throughout. The mathematical level is purposely kept moderate, allowing the power of the quantitative methods to be understood without too much technical detail.

The Elements of Financial Econometrics Summary

The Elements of Financial Econometrics by Jianqing Fan (Princeton University, New Jersey)

Financial econometrics is an interdisciplinary subject that uses statistical methods and economic theory to address a variety of quantitative problems in finance. This compact, master's-level textbook focuses on methodology and includes real financial data illustrations throughout. The mathematical level is purposely kept moderate, allowing the power of the quantitative methods to be understood without too much technical detail. Wherever possible, the authors indicate where to find the relevant R codes to implement the various methods. This book grew out of a course at Princeton University which is one of the world's flagship programs in computational finance and financial engineering. It will therefore be useful for those with an economics and finance background who are looking to sharpen their quantitative skills, and also for those with strong quantitative skills who want to learn how to apply them to finance.

The Elements of Financial Econometrics Reviews

'The Elements of Financial Econometrics is a compact introduction to quantitative methods for financial professionals who want to improve their quantitative skill set. The book is a survey of the statistical tools and associated applications needed by those who seek to use quantitative methods and empirical rigor in their analyses.' Nick Ronalds, Financial Analysts Journal

About Jianqing Fan (Princeton University, New Jersey)

Jianqing Fan is a statistician and financial econometrician. He is the current Frederick L. Moore '18 Professor of Finance and Professor of Statistics at Princeton University, New Jersey. His prizes include the Guggenheim Fellowship (2009), the Guy Medal in Silver (2014) and the COPSS Presidents' Award (2000). In 2012, he was elected Academician of Academia Sinica. He is a co-editor of the Journal of Econometrics and an associate editor of the Journal of the American Statistical Association. Qiwei Yao is Professor of Statistics at the London School of Economics and Political Science. He is an associate editor for the Journal of the American Statistical Association and for the Journal of the Royal Statistical Society: Series B.

Table of Contents

1. Asset returns; 2. Linear time series models; 3. Heteroscedastic volatility models; 4. Multivariate time series analysis; 5. Efficient portfolios and capital asset pricing model; 6. Factor pricing models; 7. Portfolio allocation and risk assessment; 8. Consumption-based CAPM; 9. Present-value models; References; Author index; Subject index.

Additional information

NPB9781107191174
9781107191174
1107191173
The Elements of Financial Econometrics by Jianqing Fan (Princeton University, New Jersey)
New
Hardback
Cambridge University Press
2017-03-23
392
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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