financial econometrics

The group has particular interests in derivative pricing, capital markets research, credit risk modelling, risk management and financial econometrics.

Professor Fabozzi has authored and edited multiple books and research papers on topics in investment management and financial econometrics.

The MFE curriculum includes four core courses in asset pricing, economics, corporate finance and financial econometrics.

International Library of Financial Econometrics, Volumes I-V, 2007.

Society for Financial Econometrics (SoFiE)

Weatherhead's distinctive program prepares students to make immediate and skilled contributions to corporate finance, financial modeling, valuation, derivatives, risk management, and financial econometrics.

These include basic econometric theory, applied econometrics, probability theory, statistical methods, sampling, time series analysis, financial econometrics, and micro econometrics.

More recently, Engle (and Eric Ghysels) co-founded the Society for Financial Econometrics (SoFiE).

In financial econometrics, the Markov-switching multifractal (MSM) is a model of asset returns that incorporates stochastic volatility components of heterogeneous durations.

The dealing rooms are also used for a wide range of computing work throughout the programmes, including Excel spreadsheet modelling, Monte Carlo simulation, financial econometrics and sessions on market microstructure.

The conference, sponsored by the Inter-University Center for Econometrics, invited doctoral students at European universities to learn about current research in financial econometrics from top US faculty members.

In financial econometrics, an autoregressive conditional duration (ACD, Engle and Russell (1998)) model considers irregularly spaced and autocorrelated intertrade durations.

He is a Fellow of the American Statistical Association and co-founded with Robert Engle the Society for Financial Econometrics (SoFiE).

In a paper published in the Journal of Financial Econometrics (2008), David Easley, Robert Engle, Maureen O'Hara and Liuren Wu proposed a dynamic estimate in discrete time.

Time-Varying Arrival Rates of Informed and Uninformed Traders (with Maureen O'Hara, David Easley and L. Wu, Journal of Financial Econometrics (2008).

The school offers M.A , MPhil and Ph.D in Economics, and optional subjects like Transional Economics, Law and Economics, Financial Econometrics, and Health Economics.

Recognising the need for a journal dedicated to econometric research, the RES established the EctJ, with the aim of creating a top international field journal for the publication of macro- micro and financial econometrics.

Jianqing Fan is a co-editor of Journal of Econometrics and Econometrics Journal and an associate editor of Econometrica, Journal of Financial Econometrics, Journal of the American Statistical Association (1996-).