The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications (Frank J. Fabozzi Series)
Modern finance incorporates quantitative methods to an extent never before seen in the field. Financial professionals and students alike must be aware of these methodologies, and well-versed in their use. Delving into complex mathematics, however, is out of scope for most finance practitioners. Accordingly,The Basics of Financial Econometricsprovides a thorough overview of the concepts, tools, and applications of econometrics to quantitative asset management, without requiring any advanced mathematical training or a burdensome treatment of theory.Covering all the key areas, the book focuses on the application of financial econometric techniques to various activities in asset management. Leaving a complete review of probability theory and statistics and mathematics to the appendices, the authors delve right into the practical techniques of financial econometrics, including regression modeling, time-series analysis, robust regression analysis, ARCH-GARCH methods, factor analysis, and principal components analysis. Presented in a clear and concise manner, each chapter provides in-depth analysis and real-world examples related to actual financial data that bridge the gap between mere theory and practical application.Financial econometrics is an indispensable component to modern finance and a crucial body of knowledge for financial professionals.The Basics of Financial Econometricsaddresses the key relationship between econometrics and finance, and provides practical examples that illustrate the connections between theory and practice. Drawing on the authors’ experience and perspectives as both practitioners and academics, this practical guide covers technical topics in an easy-to-read manner. Examining topics not typically addressed in basic texts, the book also provides chapters to address practical implementation, including model selection, model risk, and mitigating model risk.