Stefan Mittnik - Böcker

A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed.Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.

The authors reconsider the problem of parametrically specifying distribution suitable for asset-return models. They describe alternative distributions, showing how they can be estimated and applied to stock-index and exchange-rate data. The implications for options pricing are also investigated.

The field of econometrics has gone through remarkable changes during the last decades of the 20th century - the earlier focus on testing macroeconomic theories has been widened considerably. It has turned into a discipline concerned with the development and application of statistical methods for any kind of economic data. This text represents a collection of contemporary economic applications of modern econometrics and methodological developments. It explores topics such as: the effects of data quality on monetary policy, the empirical comparison of alternative monetary aggregates; empirical tests of theories for the term structure of interest rates; financial econometrics for heavy-tailed returns; the transformation of the Polish economy; labour economics; econometric modelling of household and investment decisions; modelling with limited dependent variables; testing for units roots; alternative smoothing algorithms; and latent-variable models with error in variables.The volume should be of interest to researchers and students in economics as well as practitioners in business, industry and public institutions who want to learn about recent developments in the field of econometrics.