Financial econometrics is a great success story in economics.
Econometrics uses data and statistical inference methods, together with
structural and descriptive modeling, to address rigorous economic
problems. Its development within the world of finance is quite recent
and has been paralleled by a fast expansion of financial markets and an
increasing variety and complexity of financial products. This has fueled
the demand for people with advanced econometrics skills.
For professionals and advanced graduate students pursuing greater
expertise in econometric modeling, this is a superb guide to the field's
frontier. With the goal of providing information that is absolutely
up-to-date--essential in today's rapidly evolving financial
environment--Gourieroux and Jasiak focus on methods related to foregoing
research and those modeling techniques that seem relevant to future
advances. They present a balanced synthesis of financial theory and
statistical methodology. Recognizing that any model is necessarily a
simplified image of reality and that econometric methods must be adapted
and applied on a case-by-case basis, the authors employ a wide variety
of data sampled at frequencies ranging from intraday to monthly. These
data comprise time series representing both the European and North
American markets for stocks, bonds, and foreign currencies.
Practitioners are encouraged to keep a critical eye and are armed with
graphical diagnostics to eradicate misspecification errors.
This authoritative, state-of-the-art reference text is ideal for
upper-level graduate students, researchers, and professionals seeking to
update their skills and gain greater facility in using econometric
models. All will benefit from the emphasis on practical aspects of
financial modeling and statistical inference. Doctoral candidates will
appreciate the inclusion of detailed mathematical derivations of the
deeper results as well as the more advanced problems concerning
high-frequency data and risk control. By establishing a link between
practical questions and the answers provided by financial and
statistical theory, the book also addresses the needs of applied
researchers employed by financial institutions.
