Financial Econometric Modeling

“Financial econometrics is the study and application of compelling econometric methods with a cogent financial purpose. This new book delivers a masterful introduction to financial econometrics at its best. It does so with enticing prose, motivating examples, utmost clarity and, ultimately, just the right balance of breadth and depth. In a world of big data and new technologies, not only does this rich treatment provide the fundamentals needed for more advancedexplorations but also, in my view, the desire to explore further. To anyone new to this field, or to anyone who does not believe the field to be approachable and exciting, I say: this book will be aneye-opener.”–Federico M. Bandi, James Carey Endowed Professor in Business, Johns Hopkins University”A comprehensive and long-overdue pedagogical treatment of financial econometrics–the only book to cover concepts, methodology, and empirical examples demonstrated with popular Stata and EViews software accessible to beginning students. The book is a self-contained first course, achieving the remarkable feat of an exhaustive introductory treatment that is inspiring, rigorous, and easy to read with clever organization into fundamentals, methods, and topics. Amust-have reference source, perfect for teaching financial econometrics in masters courses or to graduate students with limited backgrounds.“–Eric Renault, C.V. Starr Professor of Economics, Universityof Warwick”Financial Econometric Modeling provides a broad introduction to financial econometrics, with an emphasis on applications and encouraging students to get their hands dirty from the very beginning. The authors cover a vast amount of material. The fact that all of the topics come with sample data sets for students to use–and all of the empirical work in the book can be replicated in EViews and Stata–will be very attractive to many instructors andstudents.“–Andrew Patton, Zelter Family Professor of Economics, Duke University”I strongly recommend this textbook. It offers the perfect mix between solid bases and new developments, and between theoretical descriptions of tools and algorithms and a rich set of fully worked-out examples.“–Massimo Guidolin, Professor of Finance, Bocconi University

Stan Hurn is Professor of Econometrics at Queensland University of Technology.

Vance L. Martin is Professor of Econometrics at the University of Melbourne.

Peter C.B. Phillips is Sterling Professor of Economics at Yale University.

Jun Yu is Lee Kong Chian Professor of Economics and Finance at Singapore Management University and Lead Principal Investigator at the Centre for Research on the Economics of Aging (CREA).