Financial Econometrics

Financial Econometrics

People working in the finance industry often use econometric techniques in a range of activities. For example in support of portfolio management, risk management and in the analysis of securities. The sort of topics that financial econometricians are typically familiar with include:
* tests of the Random Walk Hypothesis
* event analysis
* the Capital Asset Pricing Model
* Arbitrage Pricing Theory
* the term structure of interest rates
* dynamic models of economic equilibrium
* nonlinear financial models such as ARCH. [Wang, Peijie (2003)Financial Econometrics: Methods and Models, Routledge]

Notes


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