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The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications (Frank J. Fabozzi Series) Hardcover – March 24, 2014

ISBN-13: 978-1118573204 ISBN-10: 111857320X Edition: 1st

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Editorial Reviews

From the Inside Flap

Modern finance incorporates quantitative methods to an extent never before seen in the field. Financial professionals and students alike must be aware of these methodologies, and well-versed in their use. Delving into complex mathematics, however, is out of scope for most finance practitioners. Accordingly, The Basics of Financial Econometrics provides a thorough overview of the concepts, tools, and applications of econometrics to quantitative asset management, without requiring any advanced mathematical training or a burdensome treatment of theory.

Covering all the key areas, the book focuses on the application of financial econometric techniques to various activities in asset management. Leaving a complete review of probability theory and statistics and mathematics to the appendices, the authors delve right into the practical techniques of financial econometrics, including regression modeling, time-series analysis, robust regression analysis, ARCH-GARCH methods, factor analysis, and principal components analysis. Presented in a clear and concise manner, each chapter provides in-depth analysis and real-world examples related to actual financial data that bridge the gap between mere theory and practical application.

Financial econometrics is an indispensable component to modern finance and a crucial body of knowledge for financial professionals. The Basics of Financial Econometrics addresses the key relationship between econometrics and finance, and provides practical examples that illustrate the connections between theory and practice. Drawing on the authors’ experience and perspectives as both practitioners and academics, this practical guide covers technical topics in an easy-to-read manner. Examining topics not typically addressed in basic texts, the book also provides chapters to address practical implementation, including model selection, model risk, and mitigating model risk.

From the Back Cover

The Basics of FINANCIAL ECONOMETRICS

With the growth in quantitative finance, financial econometrics has emerged as a vitally important field, providing the analytical models to address complex financial product structures, valuation, and risk assessment. The Basics of Financial Econometrics covers the commonly used techniques in the field without using unnecessary mathematical or statistical proofs and derivations, and with a clear emphasis on basic ideas and how to apply them.

Financial econometrics is an indispensable component to modern finance and a crucial body of knowledge for financial professionals. The Basics of Financial Econometrics addresses the key relationship between econometrics and quantitative finance, and provides practical examples that use real-world financial data. Areas covered include:

  • Building financial models
  • Asset pricing
  • Derivative pricing
  • Portfolio allocation
  • Hedging strategies
  • Model selection
  • Strategy development

Written for both seasoned financial professionals and advanced students of finance, The Basics of Financial Econometrics provides a complete, real-world overview that provides a strong foundation in financial econometrics.

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Product Details

  • Series: Frank J. Fabozzi Series (Book 206)
  • Hardcover: 448 pages
  • Publisher: Wiley; 1 edition (March 24, 2014)
  • Language: English
  • ISBN-10: 111857320X
  • ISBN-13: 978-1118573204
  • Product Dimensions: 6.3 x 1.3 x 9.3 inches
  • Shipping Weight: 1.5 pounds (View shipping rates and policies)
  • Average Customer Review: 2.5 out of 5 stars  See all reviews (2 customer reviews)
  • Amazon Best Sellers Rank: #386,996 in Books (See Top 100 in Books)

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2 of 2 people found the following review helpful By David Merkel on June 14, 2014
Format: Hardcover
Most of my readers are not going to want to buy this book, because they are not inclined toward math. But for those that are math-inclined, I would encourage you not to buy the book. Why?

Well, there are much better books on Econometrics out there, that could teach the subject better. I can safely say that no Econometrics class would use this book as a text.

Beyond that, the book does not come up with a lot of areas where "this is where you have to be careful in using regression on econometric data."

I did learn a few things from the chapter on factor analysis, but that is not typically classified as econometrics.

As such, I don't see any class of people that would benefit from this book.

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Format: Hardcover
This book bridges the gap between the theory of financial econometrics and its practical application. It does not provide enough stand-alone econometrics for the student to obtain a thorough grounding in these topics from scratch. It should be used to supplement an econometrics text. The examples provided in the text will motivate the student to work through an econometrics text with real-word rather than hypothetical applications that unfortunately populate many books.
For the experienced researcher this text presents enough theory to allow a quick review of the theory. The examples shown illustrate the range of problems to which these techniques have been applied and will hopefully lead the reader to suggest new topics. For example the chapter on cointegration applied the techniques to the stock price dividend relationship and the integration of European financial markets. There are clearly many other markets for which integration should be investigated. There is also a suggestion that cointegration can be used to detect bubbles. This has obvious current applications. The quantile regression chapter demonstrates how the mean changes in the variables measuring investment style might not be enough to capture a mutual fund manager’s style; it would be more important to use this on a hedge fund manager’s. In sum I expect the book to serve as a useful reference book and encourage the reader to apply the techniques to real world problems faced in investment management.
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