Financial Econometrics

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People working in the finance industry often use econometric techniques in a range of activities. For example in support of portfolio management, risk management and in the analysis of securities. The sort of topics that fiancial econometricians are typically familiar with include:

• tests of the Random Walk Hypothesis
• event analysis
• the Capital Asset Pricing Model
• Arbitrage Pricing Theory
• the term structure of interest rates
• dynamic models of economic equilibrium
• nonlinear financial models such as ARCH.^[1]

[edit] Notes