Financial Econometrics From Basics to Advanced Modeling Techniques by SVETLOZAR T. RACHEV
ISBN-13 9780471784500
ISBN-10 0471784508
This book is intended to provide a modern, up-to-date presentation of
financial econometrics. It was written for students in finance and practitioners
in the financial services sector.
Initially and primarily used in the derivative business, mathematical
models have progressively conquered all areas of risk management and
are now widely used also in portfolio construction. The choice of topics
and walk-through examples in this book reflect the current use of modeling
in all areas of investment management.
Financial econometrics is the science of modeling and forecasting
financial time series. The development of financial econometrics was
made possible by three fundamental enabling factors: (1) the availability
of data at any desired frequency, including at the transaction level; (2)
the availability of powerful desktop computers and the requisite IT
infrastructure at an affordable cost; and (3) the availability of off-theshelf
econometric software. The combination of these three factors put
advanced econometrics within the reach of most financial firms.
