[R-SIG-Finance] Financial Econometrics

[Eric Zivot]

Well, this is a bit of a challenge. The best overall book on financial
econometrics is Campbell, Lo and MacKinlay's book The Econometrics of
Financial Markets. They cover a very wide variety of topics on the
econometric analysis of financial models (return predictability, high
frequency and market microstructure, event studies, portfolio theory, factor
models, derivatives models, etc). Since most financial data is times series
(or panel oriented) the emphasis is on time series applications but there
are plenty of cross section topics as well. You might supplement the
material by a general discussion of GMM techniques as well as panel data
techniques. I would suggest using Cochrane's Asset Pricing Book together
with Hall's GMM book for this material. Unfortunately, this material is
probabably too advanced for most MBA students without a good stat
background. You might also consider Ruppert's book Statistics and Finance:
An Introduction or Carmona's book Statistical Analysis of Financial Data in
S-PLUS and pick the chapters that are not so much time series oriented. I
personally like these books quite a lot. Finally, another choice might be
Chris Brooks' book Introductory Econometridcs for Finance. However, this
book is fairly time series oriented but does have a solid treatment of
regression topics.
Hope this helps.
ez 

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Hsiao-nan
Cheung
Sent: Monday, September 15, 2008 10:41 PM
To: markleeds at verizon.net
Cc: R-SIG-FINANCE
Subject: Re: [R-SIG-Finance] Financial Econometrics

Thanks, and are these book about traditional econometrics or time series?

Maybe it's just a illusion to find some econometrics on finance without
ts...

HC

> -----Original Message-----
> From: markleeds at verizon.net [mailto:markleeds at verizon.net]
> Sent: Monday, September 15, 2008 10:57 PM
> To: Hsiao-nan Cheung
> Subject: RE: [R-SIG-Finance] Financial Econometrics
> 
> authors of texts  are below but i don't know the text names off the 
> top of my head.
> 
> tsay
> zivot and wang
> hayashi
> mckinlay & lo
> gueriorox and monfort
> stephen taylor  ( out of print )
> 
> 
> On Mon, Sep 15, 2008 at 10:03 AM, Hsiao-nan Cheung wrote:
> 
> > Hi,
> >
> >
> > I??ll be a assistant professor on econometrics in the following term.
> > Since
> > the students are mainly of dept. of finance, my professor want the 
> > teaching materials be about finance and not about macroeconomics. Is 
> > there any good books about financial econometrics (not something 
> > about time series analysis)? Something by examples is the best.
> >
> >
> > Thanks
> >
> >
> > Hsiao-nan Cheung
> >
> >
> >
> >
> > 	[[alternative HTML version deleted]]
> >
> >
> >
> >      ------------------------------
> >
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