An introduction to financial econometrics
Department of Operation Research and Financial Engineering
Princeton, NJ 08544
November 14, 2004
What is the financial econometrics?
This simple question does not have a simple answer. The boundary of such an interdisciplinary area is always moot and any attempt to give a formal definition is unlikely to be successful. Broadly speaking, financial econometrics is to study quantitative problems arising from finance. It uses statistical techniques and economic theory to address a variety of problems from finance. These include building financial models, estimation and inferences of financial models, volatility estimation, risk management, testing financial economics theory, capital asset pricing, derivative pricing, portfolio allocation, risk-adjusted returns, simulating financial systems, hedging strategies, among others.
An introduction to ﬁnancial econometrics.pdf