Frontier Series in Finance - Introduction to Financial Econometrics

Author: Zou Hongyuan
Publisher:
Publish Date: 2005-06-01
Features: The primary target readers of this book are undergraduates or master's students (including MBA students), who need to master a broad range of modern econometrics. At the same time, we also hope that this book will be helpful to researchers (both theoretical and applied) 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 financial time series analysis or financial econometrics in finance, financial economics, securities, and investments. To make the book as accessible as possible to readers, we have minimized 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-world data and problems in the financial field. In the fields of finance and investment, the book assumes 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, the pricing of derivative securities, and the term structure of interest rates are frequently mentioned throughout the book, they are not discussed in depth here.