Frontier of Finance Series -- Introduction to Financial Econometrics

Author: (English) Brooks (Brooks C.) Zou Hongyuan
Publisher:
Publish Date: 2005-09-05
Features: The target readers of this book are mainly undergraduates or master's students (including MBA students), who need to master a wide range of modern econometric techniques. At the same time, we also hope that this book will help researchers (including theoretical and applied types) who need to understand the statistical tools widely used in the financial field. This book can also be used for undergraduate or graduate courses in finance, financial economics, securities, and investments, focusing on financial time series analysis or financial econometrics. To make the book as accessible as possible to readers, it minimizes the requirements for quantitative technical knowledge. Readers only need to have basic knowledge of calculus, algebra (including matrices), and elementary statistics, which are briefly explained in the appendix. The book consistently emphasizes the effective application of these techniques to real financial data and problems. In the fields of finance and investment, it is assumed that readers already have a basic understanding of corporate finance, financial markets, and investment. Therefore, although topics such as modern portfolio theory, the capital asset pricing model (CAPM), the arbitrage pricing theory (APT), the efficient market hypothesis, derivative pricing, and the term structure of interest rates are frequently mentioned throughout the book, they are not deeply explored here.