Financial econometrics

Financial econometrics

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, risk management and in the analysis of securities. The sort of topics that financial econometricians are typically familiar with include:

·         tests of the Random Walk Hypothesis

·         event analysis

·         the Capital Asset Pricing Model

·         Arbitrage Pricing Theory

·         the term structure of interest rates

·         dynamic models of economic equilibrium

·         non linear financial models such as ARCH.