IDEAS home Printed from https://ideas.repec.org/b/cup/cbooks/9781107191174.html
   My bibliography  Save this book

The Elements of Financial Econometrics

Author

Listed:
  • Fan,Jianqing
  • Yao,Qiwei

Abstract

Financial econometrics is an interdisciplinary subject that uses statistical methods and economic theory to address a variety of quantitative problems in finance. This compact, master's-level textbook focuses on methodology and includes real financial data illustrations throughout. The mathematical level is purposely kept moderate, allowing the power of the quantitative methods to be understood without too much technical detail. Wherever possible, the authors indicate where to find the relevant R codes to implement the various methods. This book grew out of a course at Princeton University which is one of the world's flagship programs in computational finance and financial engineering. It will therefore be useful for those with an economics and finance background who are looking to sharpen their quantitative skills, and also for those with strong quantitative skills who want to learn how to apply them to finance.

Suggested Citation

  • Fan,Jianqing & Yao,Qiwei, 2017. "The Elements of Financial Econometrics," Cambridge Books, Cambridge University Press, number 9781107191174.
    • Handle: RePEc:cup:cbooks:9781107191174
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Podhorsky, Andrea, 2023. "Taxing bitcoin: Incentivizing the difficulty adjustment mechanism to reduce electricity usage," International Review of Financial Analysis, Elsevier, vol. 86(C).
    2. Czudaj, Robert L., 2019. "Crude oil futures trading and uncertainty," Energy Economics, Elsevier, vol. 80(C), pages 793-811.
    3. Czudaj Robert L., 2020. "The role of uncertainty on agricultural futures markets momentum trading and volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(3), pages 1-39, June.
    4. Simmet Anastasia & Pohlmeier Winfried, 2020. "The CAPM with Measurement Error: ‘There’s life in the old dog yet!’," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 240(4), pages 417-453, August.
    5. Basnarkov, Lasko & Stojkoski, Viktor & Utkovski, Zoran & Kocarev, Ljupco, 2020. "Lead–lag relationships in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
    6. Ke Wan & Alain Kornhauser, 2023. "Market Making and Pricing of Financial Derivatives based on Road Travel Times," Papers 2305.02523, arXiv.org, revised May 2023.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:cbooks:9781107191174. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ruth Austin (email available below). General contact details of provider: https://www.cambridge.org .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.