FINANCIAL ECONOMETRICS, by Christian Gourieroux and Joann Jasiak, Princeton University Press, 2001

Extract

Over the past decade financial econometrics has evolved from a small subfield of econometrics to a rapidly growing area of research that maintains its own journals and dominates the applied time series sessions in many major conferences. Financial econometrics is a conglomerate of statistical models and techniques to summarize regular features of financial data sets and to evaluate theoretical models and hypotheses that have been set forth by financial economists. Besides being a focal point of intellectual curiosity, financial econometrics also provides a rich tool kit that is used by practitioners around the world to forecast volatilities of asset return, optimize portfolio allocations, price derivatives, and manage market risk. Courses in financial econometrics are being offered at all major universities and business schools at the master's and doctoral levels. Given the importance and popularity of the field, it is not surprising that it has become the subject of textbooks and monographs, one of them being the new book Financial Econometrics by Christian Gourieroux and Joann Jasiak.This review has benefited from discussions with Frank Diebold and participants of the Penn Econometrics Lunch.