Financial Econometrics From Basics to Advanced Modeling Techniques

A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University's School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.

Svetlozar T. Rachev, PhD, is Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering, Professor Emeritus at the University of California, Santa Barbara, and Chief Scientist of FinAnalytica.

Stefan Mittnik is Professor of Financial Econometrics at the University of Munich, Research Director at the Ifo Institute for Economic Research in Munich, and Director of the Risk Management Program at the Center for Financial Studies in Frankfurt, Germany.

Frank J. Fabozzi, PhD, CFA, CFP, is an Adjunct Professor of Finance at Yale University's School of Management and the Editor of the Journal of Portfolio Management.

Sergio M. Focardi is a founding partner of the Paris-based consulting firm, The Intertek Group.

Teo Jasic, PhD, is a senior manager with a leading international management consultancy firm in Frankfurt, Germany, and a Post-Doctoral Research Fellow at the Chair of Statistics, Econometrics, and Mathematical Finance at the University of Karlsruhe, Germany.