Stefan Mittnik – författare

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.

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 thirty-five years. Widening its earlier focus on testing macroeconomic theories, it has become a rather comprehensive discipline concemed with the development of statistical methods and their application to the whole spectrum of economic data. This development becomes apparent when looking at the biography of an econometrician whose illustrious research and teaching career started about thirty-five years ago and who will retire very soon after his 65th birthday. This is Gerd Hansen, professor of econometrics at the Christian Albrechts University at Kiel and to whom this volume with contributions from colleagues and students has been dedicated. He has shaped the econometric landscape in and beyond Germany throughout these thirty-five years. At the end of the 1960s he developed one of the first econometric models for the German econ­ omy which adhered c10sely to the traditions put forth by the Cowles commission.

The field of econometrics has gone through remarkable changes during the last thirty-five years. Widening its earlier focus on testing macroeconomic theories, it has become a rather comprehensive discipline concemed with the development of statistical methods and their application to the whole spectrum of economic data. This development becomes apparent when looking at the biography of an econometrician whose illustrious research and teaching career started about thirty-five years ago and who will retire very soon after his 65th birthday. This is Gerd Hansen, professor of econometrics at the Christian Albrechts University at Kiel and to whom this volume with contributions from colleagues and students has been dedicated. He has shaped the econometric landscape in and beyond Germany throughout these thirty-five years. At the end of the 1960s he developed one of the first econometric models for the German econ­ omy which adhered c10sely to the traditions put forth by the Cowles commission.