Financial econometrics
Financial econometrics has been defined as the application of statistical techniques to problems in finance.[1] People working in the finance industry or researching the finance sector 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 financial 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 autoregressive conditional heteroskedasticity[2]
Notes
- ↑ Brooks, Chris (2014). Introductory Econometrics for Finance (3rd ed.). Cambridge: Cambridge University Press. p. 2. ISBN 9781107661455.
- ↑ Wang, Peijie (2003). Financial Econometrics: Methods and Models. Routledge. ISBN 978-0-415-22455-0.