Book description
An accessible guide to the growing field of financial econometrics
As finance and financial products have become more complex, financial econometrics has emerged as a fastgrowing field and necessary foundation for anyone involved in quantitative finance. The techniques of financial econometrics facilitate the development and management of new financial instruments by providing models for pricing and risk assessment. In short, financial econometrics is an indispensable component to modern finance.
The Basics of Financial Econometrics covers the commonly used techniques in the field without using unnecessary mathematical/statistical analysis. It focuses on foundational ideas and how they are applied. Topics covered include: regression models, factor analysis, volatility estimations, and time series techniques. In addition, an associated website contains a number of realworld case studies related to important issues in this area.
Covers the basics of financial econometrics—an important topic in quantitative finance
Contains several chapters on topics typically not covered even in basic books on econometrics such as model selection, model risk, and mitigating model risk
A companion website includes minicases that explain important topics in portfolio management, credit risk modeling, option pricing, and risk management
Geared towards both practitioners and finance students who need to understand this dynamic discipline, but may not have advanced mathematical training, this book is a valuable resource on a topic of growing importance.
Note: The ebook version does not provide access to the companion files.
Table of contents
 Cover Page
 Title Page
 Copyright
 Dedication
 Contents
 Preface
 Acknowledgments
 About the Authors
 CHAPTER 1: Introduction
 CHAPTER 2: Simple Linear Regression
 CHAPTER 3: Multiple Linear Regression
 CHAPTER 4: Building and Testing a Multiple Linear Regression Model
 CHAPTER 5: Introduction to Time Series Analysis
 CHAPTER 6: Regression Models with Categorical Variables
 CHAPTER 7: Quantile Regressions
 CHAPTER 8: Robust Regressions
 CHAPTER 9: Autoregressive Moving Average Models
 CHAPTER 10: Cointegration
 CHAPTER 11: Autoregressive Heteroscedasticity Model and Its Variants

CHAPTER 12: Factor Analysis and Principal Components Analysis
 Assumptions of Linear Regression
 Basic Concepts of Factor Models
 Assumptions and Categorization of Factor Models
 Similarities and Differences between Factor Models and Linear Regression
 Properties of Factor Models
 Estimation of Factor Models
 Principal Components Analysis
 Differences between Factor Analysis and PCA
 Approximate (Large) Factor Models
 Approximate Factor Models and PCA
 Key Points
 CHAPTER 13: Model Estimation
 CHAPTER 14: Model Selection
 CHAPTER 15: Formulating and Implementing Investment Strategies Using Financial Econometrics
 APPENDIX A: Descriptive Statistics
 APPENDIX B: Continuous Probability Distributions Commonly Used in Financial Econometrics
 APPENDIX C: Inferential Statistics
 APPENDIX D: Fundamentals of Matrix Algebra
 APPENDIX E: Model Selection Criterion: AIC and BIC
 APPENDIX F: Robust Statistics
Product information
 Title: The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications
 Author(s):
 Release date: March 2014
 Publisher(s): Wiley
 ISBN: 9781118573204
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