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Financial Econometrics
Financial econometrics is the application of statistical methods to financial market data. Financial econometrics is a branch of financial economics, in the field of economics. Areas of study include capital markets, financial institutions, corporate finance and corporate governance. Topics often revolve around asset valuation of individual stocks, bonds, derivatives, currencies and other financial instruments. It differs from other forms of econometrics because the emphasis is usually on analyzing the prices of financial assets traded at competitive, liquid markets. People working in the finance industry or researching the finance sector often use econometric techniques in a range of activities – for example, in support of portfolio management and in the valuation of securities. Financial econometrics is essential for risk management when it is important to know how often 'bad' investment outcomes are expected to occur over future days, weeks, months and years. Topics The ...
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Market Data
''For market data as used in marketing, see marketing information system'' In finance, market data is price and other related data for a financial instrument reported by a trading venue such as a stock exchange. Market data allows traders and investors to know the latest price and see historical trends for instruments such as equities, fixed-income products, derivatives, and currencies. The market data for a particular instrument would include the identifier of the instrument and where it was traded such as the ticker symbol and exchange code plus the latest bid and ask price and the time of the last trade. It may also include other information such as volume traded, bid, and offer sizes and static data about the financial instrument that may have come from a variety of sources. There are a number of financial data vendors that specialize in collecting, cleaning, collating, and distributing market data and this has become the most common way that traders and investors get a ...
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Volatility (finance)
In finance, volatility (usually denoted by ''σ'') is the degree of variation of a trading price series over time, usually measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Volatility terminology Volatility as described here refers to the actual volatility, more specifically: * actual current volatility of a financial instrument for a specified period (for example 30 days or 90 days), based on historical prices over the specified period with the last observation the most recent price. * actual historical volatility which refers to the volatility of a financial instrument over a specified period but with the last observation on a date in the past **near synonymous is realized volatility, the square root of the realized variance, in turn calculated using the sum of squ ...
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Tim Bollerslev
Tim Peter Bollerslev (born May 11, 1958) is a Danish economist, currently the ''Juanita and Clifton Kreps Professor of Economics'' at Duke University. A fellow of the Econometric Society, Bollerslev is known for his ideas for measuring and forecasting financial market volatility and for the GARCH (generalized autoregressive conditional heteroskedasticity) model. Biography Tim Bollerslev received his MSc in economics and mathematics in 1983 from the Aarhus University in Denmark. He continued his studies in the U.S., earning his Ph.D. in 1986 from the University of California at San Diego with a thesis titled ''Generalized Autoregressive Conditional Heteroskedasticity with Applications in Finance'' written under the supervision of Robert F. Engle (Nobel Prize in Economics winner in 2003). After his graduate studies, Bollerslev taught at the Northwestern University between 1986–1995 and at the University of Virginia between 1996–1998. Since 1998 he is the Juanita and Clifton Kr ...
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Robert J
The name Robert is an ancient Germanic given name, from Proto-Germanic "fame" and "bright" (''Hrōþiberhtaz''). Compare Old Dutch ''Robrecht'' and Old High German ''Hrodebert'' (a compound of '' Hruod'' ( non, Hróðr) "fame, glory, honour, praise, renown" and ''berht'' "bright, light, shining"). It is the second most frequently used given name of ancient Germanic origin. It is also in use as a surname. Another commonly used form of the name is Rupert. After becoming widely used in Continental Europe it entered England in its Old French form ''Robert'', where an Old English cognate form (''Hrēodbēorht'', ''Hrodberht'', ''Hrēodbēorð'', ''Hrœdbœrð'', ''Hrœdberð'', ''Hrōðberχtŕ'') had existed before the Norman Conquest. The feminine version is Roberta. The Italian, Portuguese, and Spanish form is Roberto. Robert is also a common name in many Germanic languages, including English, German, Dutch, Norwegian, Swedish, Scots, Danish, and Icelandic. It can be use ...
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Lars Peter Hansen
Lars Peter Hansen (born 26 October 1952 in Urbana, Illinois) is an American economist. He is the David Rockefeller Distinguished Service Professor in Economics, Statistics, and the Booth School of Business, at the University of Chicago and a 2013 recipient of the Nobel Memorial Prize in Economics. Hansen is best known for his work on the generalized method of moments, he is also a distinguished macroeconomist, focusing on the linkages between the financial sector and the macroeconomy. His current collaborative research develops and applies methods for pricing the exposure to macroeconomic shocks over alternative investment horizons and investigates the implications of the pricing of long-term uncertainty. Among other honors, he received the 2010 BBVA Foundation Frontiers of Knowledge Award
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Eugene Fama
Eugene Francis "Gene" Fama (; born February 14, 1939) is an American economist, best known for his empirical work on portfolio theory, asset pricing, and the efficient-market hypothesis. He is currently Robert R. McCormick Distinguished Service Professor of Finance at the University of Chicago Booth School of Business. In 2013, he shared the Nobel Memorial Prize in Economic Sciences jointly with Robert J. Shiller and Lars Peter Hansen. The Research Papers in Economics project ranked him as the 9th-most influential economist of all time based on his academic contributions, . He is regarded as "the father of modern finance", as his works built the foundation of financial economics and have been cited widely. Early life Fama was born in Boston, Massachusetts, the son of Angelina (née Sarraceno) and Francis Fama. All of his grandparents were immigrants from Italy. Fama is a Malden Catholic High School Athletic Hall of Fame honoree. He earned his undergraduate degree in Romance ...
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Clive Granger
Sir Clive William John Granger (; 4 September 1934 – 27 May 2009) was a British econometrician known for his contributions to nonlinear time series analysis. He taught in Britain, at the University of Nottingham and in the United States, at the University of California, San Diego. Granger was awarded the Nobel Memorial Prize in Economic Sciences in 2003 in recognition of the contributions that he and his co-winner, Robert F. Engle, had made to the analysis of time series data. This work fundamentally changed the way in which economists analyse financial and macroeconomic data. Biography Early life Clive Granger was born in 1934 in Swansea, south Wales, United Kingdom, to Edward John Granger and Evelyn Granger. The next year his parents moved to Lincoln. During World War II Granger and his mother moved to Cambridge because Edward joined the Royal Air Force and deployed to North Africa. Here they stayed first with Evelyn's mother, then later Edward's parents, while Clive began ...
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Nobel Memorial Prize In Economic Sciences
The Nobel Memorial Prize in Economic Sciences, officially the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel ( sv, Sveriges riksbanks pris i ekonomisk vetenskap till Alfred Nobels minne), is an economics award administered by the Nobel Foundation. Although not one of the five Nobel Prizes which were established by Alfred Nobel's will in 1895, it is commonly referred to as the Nobel Prize in Economics. The winners of the Nobel Memorial Prize in Economic Sciences are chosen in a similar way, are announced along with the Nobel Prize recipients, and the prize is presented at the Nobel Prize Award Ceremony. The award was established in 1968 by an endowment "in perpetuity" from Sweden's central bank, Sveriges Riksbank, to commemorate the bank's 300th anniversary. It is administered and referred to along with the Nobel Prizes by the Nobel Foundation. Laureates in the Memorial Prize in Economics are selected by the Royal Swedish Academy of Sciences.
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Journal Of Business & Economic Statistics
The ''Journal of Business & Economic Statistics'' is a quarterly peer-reviewed academic journal published by the American Statistical Association. The journal covers a broad range of applied problems in business and economic statistics, including forecasting, seasonal adjustment, applied demand and cost analysis, applied econometric modeling, empirical finance, analysis of survey and longitudinal data related to business and economic problems, the impact of discrimination on wages and productivity, the returns to education and training, the effects of unionization, and applications of stochastic control theory to business and economic problems. See also *List of scholarly journals in economics The following is a list of scholarly journals in economics containing most of the prominent academic journals in economics. Popular magazines or other publications related to economics, finance, or business are not listed. A *'' Affilia'' * ... References External links Journal of ...
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Journal Of Econometrics
The ''Journal of Econometrics'' is a scholarly journal in econometrics. It was first published in 1973. Its current managing editors are Serena Ng and Elie Tamer, Torben Andersen and Xiaohong Chen serve as editors. The journal publishes work dealing with estimation and other methodological aspects of the application of statistical inference to economic data, as well as papers dealing with the application of econometric techniques to economics. The journal also publishes a supplement to the Journal of Econometrics which is called "Annals of Econometrics". Each issue of the Annals includes a collection of papers on a single topic selected by the editor of the issue. See also * ''Econometrics Journal'' References External links Homepage Econometrics, Journal of Econometrics journals Econometrics Econometrics is the application of Statistics, statistical methods to economic data in order to give Empirical evidence, empirical content to economic relationships.M. Hashem P ...
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Econometrica
''Econometrica'' is a peer-reviewed academic journal of economics, publishing articles in many areas of economics, especially econometrics. It is published by Wiley-Blackwell on behalf of the Econometric Society. The current editor-in-chief is Guido Imbens. History ''Econometrica'' was established in 1933. Its first editor was Ragnar Frisch, recipient of the first Nobel Memorial Prize in Economic Sciences in 1969, who served as an editor from 1933 to 1954. Although ''Econometrica'' is currently published entirely in English, the first few issues also contained scientific articles written in French. Indexing and abstracting ''Econometrica'' is abstracted and indexed in: * Scopus * EconLit * Social Science Citation Index According to the ''Journal Citation Reports'', the journal has a 2020 impact factor of 5.844, ranking it 22/557 in the category "Economics". Awards issued The Econometric Society aims to attract high-quality applied work in economics for publication in ''Eco ...
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Eric Ghysels
Eric Ghysels (born 1956 in Brussels) is a Belgian-American economist with interest in finance and time series econometrics, and in particular the fields of financial econometrics and financial technology. He is the Edward M. Bernstein Distinguished Professor of Economics at the University of North Carolina and a Professor of Finance at the Kenan-Flagler Business School. He is also the Faculty Research Director of the Rethinc.Labs at the Frank Hawkins Kenan Institute of Private Enterprise. Early life and education Ghysels was born in Brussels, Belgium, as the son of Pierre Ghysels (a civil servant) and Anna Janssens (a homemaker). He completed his undergraduate studies in economics (Supra Cum Laude) at the Vrije Universiteit Brussel in 1979. He obtained a Fulbright Fellowship from the Belgian American Educational Foundation in 1980 and started graduate studies at Northwestern University that year, finishing his PhD at the Kellogg Graduate School of Management of Northwestern Un ...
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