What we have learnt from financial econometrics modeling?

Dhaoui, Elwardi (2013): What we have learnt from financial econometrics modeling? Published in: (2013)

Abstract

A central issue around which the recent growth literature has evolved is that of financial econometrics modeling. Expansions of interest in the modeling and analyzing of financial data and the problems to which they are applied should be taken in account.This article focuses on econometric models widely and frequently used in the examination of issues in financial economics and financial markets, which are scattered in the literature. It begins by laying out the intimate connections between finance and econometrics. We will offer an overview and discussion of the contemporary topics surrounding financial econometrics. Then, the paper follows the financial econometric modeling research conducted along some different approaches that consist of the most influential statistical models of financial-asset returns, namely Arch-Garch models; panel models and Markov Switching models. This is providing several information bases for analysis of financial econometrics modeling.

• Item Type: MPRA Paper
• Language: English
• Keywords: financial modeling, Arch-Garch models, panel models, Markov Switching models.
• Subjects: G - Financial Economics > G0 - General > G00 - General; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation; G - Financial Economics > G3 - Corporate Finance and Governance > G39 - Other

References

1. ALBERECGER H., RUNGGALDIER W.J., SCHAVHERMAYER W., 2000, Advanced financial modeling, Radon Series on Comptational and Aplliied Mathematics.

2. ALEXANDER C., 2008, Market Risk Analysis, Volume III.Wiley & Sons, London, forthcoming

3. ANDREW W. LO., 2007, Financial Econometrics, Glos, UK: Edward Elgar Publishing Limited.

4. BAUER R., PAVLOV B., Schotman Peter C., 2004, Panel Data Models for Stock Returns: the Importance of Industries, Rob Bauer. ABP Investments and Limburg Institute of Financial Economics.

5. BERA A. K., and HIGGINS M. L., 1993, ARCH models: properties, estimation and testing, Journal of Economic Surveys, vol. 7, n°. 4, pp.307-366.

6. BERNDT E.R., 1996, The Practice of Econometrics: Classic and Contemporary, Addison Wesley Publishing Company.

7. BROOKS C., 2008, Introductory econometrics for finance, 2nd edition. Cambridge University Press, United Kingdom.

8. BROOKS C., CERN’Y A. and MIFFRE J., 2006, Optimal Hedging with Higher Moments, ICMA Centre Discussion Papers in Finance, n°12.

9. CAMPBELL, J.Y., LO A.W. and MACKINLAY A.C., 1997, The econometrics of financial markets, Princeton University Press.

10. CAPINSKI M. AND ZASTAWNIAK T., 2003, Mathematics for Finance: An Introduction to Financial Engineeting and Springer, Verlar, London. D. G. Luenberger.

11. CRAWLEY N. 2010, Which industry sector would benefit the most from improved financial modelling standards? fimodo.com.

12. DAGUM C., 1967, On the method and proposes in econometric model buiding, Econometrics Research Program , Research memorandum.

13. DROESBEKE J.J., FICHET B. and TASSI P., 1994, Modélisation ARCH: Théorie statistique et applications dans le domaine de la finance, Ellipses Marketing.

14. EMBRECHTS P., HOING A. and JURI, A., 2003, Using Copulae to bound the Value-at-Risk for functions of dependent risks, Finance & Stochastics, n° 7, p.145–167.

15. FLANNERY M.J., et WATSON HANKINS W., 2012, Estimating Dynamic Panel Models in Corporate Finance, Forthcoming, Journal of Corporate Finance.

16. FRANK J. FABOZZI, SERGIO M. FOCARDI, ROBERT F. ENGLE., 2007, ARCH-GARCH Models in Applied Financial Econometrics, JWPR026-Fabozzi, c114-NP November 27.

17. GOURIEROUX C., 1992, Modèles ARCH et applications financières, Economica.

18. GOURIEROUX C., SCAILLET, O. and SZAFARZ A., 1997, Econométrie de la finance, analyses historiques, Economica.

19. GREENE W., 1997, Econometric Analysis, Third Edition, New Jersey: Prentice-Hall.

20. HAMILTON J.D., 1989, A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica, n° 57.

21. HAMILTON, J.D., 1994, Time Series Analysis, Princeton, NJ: Princeton University Press.

22. HUNG C.-H., SHACKLETON, M. and XU X., 2004, CAPM, Higher Co-moment and Factor Models of UK Stock Returns, Journal of Business Finance and Accounting 31(1--2), p.87-112.

23. INTRILIGATOR M.D., 1983, Economic and econometric model, University of Califirnia, Los Angeles. North-Holland Publishing Company.

24. JOHNSTON J., and DINARDO J., 1997, Econometric methods, Fourth Edition, New York: McGraw-Hill.

25. JÖRG K., et WETTERAU D., 2012, Financial modeling: theory, implementation and practice with Matlab sources, John Wiley & Sons Ltd.

26. KENNEDY D., 2010, Stochastic financial models. Taylor and Francis Group, LLC.

27. KOENKER R., et Bassett G., 1978, Regression Quantiles, Econometrica, vol. 46, No. 1. pp. 33-50

28. MALINVAUD E., 1956, L’agrégation dans les modèles économiques, Cahier des séminaires d’Econométrie, n°.4, Centre National de la Recherche Scientifique, Paris, 1956.

29. MILLS T. C, et MARKELLOS R.N., 2008, The econometric modeling of financial time series, Third edition. Cambridge University Press.

30. NELSEN R.B., 2006, An Introduction to Copulas, Second Edition. Springer, New York.

31. O'SULLIVAN, ARTHUR; SHEFFRIN, et STEVEN M., 2003, Economics: Principles in action, Upper Saddle River, New Jersey 07458: Pearson Prentice Hall.

32. PERRELLI R., 2001, Introduction to ARCH & GARCH models, University of Illinois, Department of Economics.

33. RAYMOND A. K., 2001, Estimation, data construction and data analysis for survey research, Instructors' Manual, Published by Palgrave.

34. ROBINSON ENDER A., 1966, Model buiding for human Sciences, in La technique des modèles dans les sciences humaines, Entretien de Monaco en Science Humaines, Herman World, Editor and Scientific Organisater.

35. RUEY S. T., 2005, Analysis of financial time series, Second edition, Wiley Series in Probabilities and Statistics.

36. SANGJOON J., 2012, Financial Development and Output Growth: A Panel Study for Asian Countries, Journal of East Asian Economic Integration, vol. 16, no. 1 p.97-115.

37. SAPSFORD R., 2006, Victor Jupp, Data collection and analysis. Sage Publications, 2nd edition.

38. SWAN J., 2008, Practical financial modeling: a guide to current practice, Elsevier Ltd.

39. THOMAS S.Y. HO, et SANG BIN LEE, 2004, Financial modeling: application fir capital markets, corporate finance, Risk managements and financial institutions,Oxford University Press.

40. WANG P., 2009, Financial econometrics, Second edition 2009 by Routledge 2 Park Square, Milton Park, Abingdon, Oxon OX14 4RN.

41. ZONGWU C., 2012, Econometric Analysis of Financial Market Data, University of North Carolina. Charlotte, NC 28223, U.S.A.