1. Introduction and background; 2. Econometric background; 3. Return predictability and the efficient markets hypothesis; 4. Robust tests and tests of nonlinear predictability of returns; 5. Empirical market microstructure; 6. Event study analysis; 7. Portfolio choice and testing the capital asset pricing model; 8. Multifactor pricing models; 9. Present value relations; 10. Intertemporal equilibrium pricing; 11. Volatility; 12. Continuous time processes; 13. Yield curve; 14. Risk management and tail estimation; 15. Exercises and complements; 16. Appendix.
Presents an up-to-date treatment of the models and methodologies of financial econometrics by one of the world's leading financial econometricians.
Oliver Linton is a fellow of Trinity College and is Professor of Political Economy at the University of Cambridge. Formerly, Professor of Econometrics at the London School of Economics and Political Science and Professor of Economics at Yale University. He obtained his Ph.D. in Economics from the University of California, Berkeley in 1991. He has written more than a hundred articles on econometrics, statistics, and empirical finance. In 2015, he was a recipient of the Humboldt Research Award of the Alexander von Humboldt Foundation. He has been a Co-editor at the Journal of Econometrics since 2014. He is a Fellow of the Econometric Society, the Institute of Mathematical Statistics, the Society for Financial Econometrics, the British Academy, and the International Foundation of Applied Econometrics. He was a lead expert in the UK Government Office for Science Foresight project: 'The Future of Computer Trading in Financial Markets', which published in 2012. He has appeared as an expert witness for the Financial Services Authority (FSA) and the Financial Conduct Authority (FCA) in several cases involving market manipulation.
'Financial Econometrics: Models and Methods is an excellent book
that provides rigorous and advanced econometric methods for testing
financial theories. The book is very well structured and easy to
follow. The author has successfully managed to simplify the theory
of these methods, which makes the book highly recommended not only
for Master's students, but also for practitioners who might be
interested in using up-to-date econometric techniques for financial
data analysis.' Abderrahim Taamouti, Durham University
'This book is brilliant. Broad and self-contained, it provides a
masterful treatment of classic and modern financial econometrics.
An easy-to-read presentation of models, methods, and empirical
applications takes the reader through an array of highly relevant
topics ranging from return predictability to tail estimation. It
strikes a perfect balance between finance and econometrics. I
strongly recommend the book for anyone interested in financial
econometrics. Loriano Mancini, Swiss Finance Institute and
Università della Svizzera italiana
'Financial Econometrics: Models and Methods by Oliver Linton
provides an up-to-date and comprehensive treatment of financial
econometrics for masters-level and doctoral students in finance or
financial economics. Despite the author's sterling reputation as a
theoretical econometrician, the book does not get bogged down in
abstract derivations; it has a 'hands-on' style, illustrating each
new method with empirical results and encouraging students to use
statistical software to apply the methods themselves.' Gregory
Connor, Maynooth University
'This is an excellent postgraduate textbook for financial
econometrics, written by a leading researcher in the field who
serves in a variety of advisory roles in the financial markets. The
book provides a comprehensive treatment of numerous recent
developments that are not yet covered by existing texts, including
those in up-to-date empirical regularities, market microstructure
and multifactor models. Students will also find the included
software routines particularly useful for research projects.'
Bonsoo Koo, Monash University, Melbourne
'Oliver Linton is an expert in financial econometrics and he
communicates his expertise very well in this book.' Ekaterina
Smetanina, University of Chicago
'Finally - a book that combines modern financial theory and
practice, economic theory, econometrics, time series, statistics
and characteristics of financial data perfectly. This is a book
written by a world leading scholar in the area. It is well suited
for advanced undergraduate and graduate level courses on financial
econometrics. I am looking forward to using it for my own teaching
and research in the coming years.' Xiaohong Chen, Yale University,
Connecticut
'… this book is a good companion with added clarity … The reader
will appreciate his strong theoretical guide for any research
replication.' Mark S. Rzepczynski, Enterprising Investor
(https://blogs.cfainstitute.org/investor/)
'The key strength of the book lies in its careful presentation of
the mathematical foundations of financial econometrics, using
rigorous yet accessible style. It would be particularly appreciated
by students who are not intimidated by a more technical approach.
For courses that are targeted towards a broad range of student
background and interests, this book could be a very good complement
to a standard textbook, which would facilitate interested students
to acquire a deeper understanding of financial econometric
methodologies.' Colin Rogers, Economic Record
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