4
$\begingroup$

I am looking for an applied financial econometrics textbook. There are plenty of textbooks that present time series models used in financial econometrics but few of them put any emphasis on applications and implications. I would like to find a textbook that focuses on application/implementation of financial theories, hypotheses and models such as

  • asset pricing models (CAPM, multifactor models),
  • the efficient market hypothesis,
  • commodity market models and commodity price relationships,
  • spot and futures price relationships, convenience yield, risk premium,
  • unbiased forward price hypothesis,
  • long-term equilibrium in financial or commodity markets (cointegration models) and
  • uncovered interest rate parity.

The closest thing I could find is Campbell et al. "The Econometrics of Financial Markets" (1996). I have not studied or taught from it myself but have used it as a reference a couple of time and I guess it is a great book. Are there any other alternatives (ideally not too technical)?

$\endgroup$
5
  • $\begingroup$ what level are you looking for? Introductory or graduate? $\endgroup$
    – 1muflon1
    Dec 14, 2022 at 17:33
  • $\begingroup$ Any level, though if there is some choice, I would go for something not too advanced / not too technical. But I would appreciate references on any level. $\endgroup$ Dec 14, 2022 at 17:41
  • 1
    $\begingroup$ Hi @ Richard Hardy. Have you looked it Brooks 'Introductory Econometrics for Finance'? Very nice text. Aimed at advanced undergrad/M.Sc. Covers most of those topics in a non-technical manner. $\endgroup$
    – EB3112
    Dec 14, 2022 at 22:16
  • $\begingroup$ @EB3112, thanks! I have seen the book but was not expecting much from it. The table of contents makes it look like just another econometrics textbook. Perhaps the applications are there but are not advertised well enough. I will take a closer look. $\endgroup$ Dec 15, 2022 at 8:33
  • $\begingroup$ Yeah, good book. Also provides some implementation in eViews. Which is guess is a reasonably specific software, but it keeps the blend of programming/metrics well-balanced. $\endgroup$
    – EB3112
    Dec 15, 2022 at 9:55

2 Answers 2

1
$\begingroup$

You can have look at:

Brooks Introductory Econometrics for Finance <- good introduction to this subject.

Lee & Lee Handbook of Financial Econometrics and Statistics <- more advanced treatment.

$\endgroup$
1
  • $\begingroup$ Brooks is an excellent recommendation. Other recommendations that are maybe one notch below Brooks in terms of what you're looking for are linton's "financial econometrics" and pesaran's "time series and panel data econometrics". These are excellent texts but not quite as applied as Brooks' text. $\endgroup$
    – mark leeds
    Dec 16, 2022 at 15:35
1
$\begingroup$
  • Laopodis "Financial Economics and Econometrics" (1st edition, 2021) by Routledge seems relevant. It has plenty of chapters on application/implementation of financial theories, hypotheses and models. There are some primitive Excel graphs that look out of place in a financial econometrics textbook, but I hope this does not mean the rest of the book is of questionable quality.
  • Ang "Analyzing Financial Data and Implementing Financial Models Using R" (2nd edition, 2021) by Springer (free PDF at Springer!) is heavy on R implementation but has plenty of financial data analysis. The level and depth on which financial models are analyzed seems a bit low.
  • Linton "Financial Econometrics: Models and Methods" (1st edition, 2019) by Cambridge University Press seems relevant but may be too advanced for my needs. (I have not had a chance to flip through the book, just the table of contents.)
  • Zivot "Modelling Financial Time Series with S-PLUS" (2nd edition, 2006) by Springer is heavy on econometrics and light on applications, except perhaps for Chapters 16 "Factor Models for Asset Returns" and 17 "Term Structure of Interest Rates".
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.