Overview

This text builds upon a basic understanding of econometrics and statistics towards the models and estimation techniques of financial econometrics. The first part of the book is an introduction to the background material techniques that are of particular importance in Financial Econometrics, while the second half of the text concentrates on more advanced topics in greater detail. The topics of models for volatility, models for high frequency data, static and dynamic yield curve models, and value at risk are covered in depth, and analytical as well as computer exercises based on EVIEWS and a variety of datasets are included.

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9781405107648

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Oliver Linton is Professor of Econometrics at the London School of Economics; he previously taught at Yale University. He is co-editor of the journal Econometric Theory, and associate editor of the Journal of Statistical Planning and Inference.

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