Financial Econometrics

Problems, Models, and Methods

Christian Gourieroux, Joann Jasiak

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English

Princeton University Press
01 March 2023

Econometrics; Finance

Series: Princeton Series in Finance

Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modelling, 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 fuelled the demand for people with advanced econometrics skills. For professionals and advanced graduate students pursuing greater expertise in econometric modelling, this is a guide to the field's frontier. With the goal of providing information that is absolutely up-to-date - essental in today's rapidly evolving financial environment - Gourieroux and Jasiak focus on methods related to foregoing research and those modelling techniques that seem relevant for 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 f

By: Christian Gourieroux, Joann Jasiak
Imprint: Princeton University Press
Country of Publication: United States
Dimensions: Height: 235mm, Width: 156mm,
ISBN: 9780691242361
ISBN 10: 0691242364
Series: Princeton Series in Finance
Pages: 528
Publication Date: 01 March 2023
Audience: Professional and scholarly , College/higher education , Undergraduate , Primary
Format: Paperback
Publisher's Status: Active

Christian Gourieroux is Director of the Laboratory for Finance and Insurance at the Center for Research in Economics and Statistics (CREST) in Paris. He is the coauthor of Statistics and Econometric Models, Simulation Based Econometric Methods, and Time Series and Dynamic Models. Joann Jasiak is Associate Professor in the Department of Economics, York University, Toronto.