THE ELEMENTS OF FINANCIAL ECONOMETRICS

1. Asset returns
2. Linear time series models
3. Heteroscedastic volatility models
4. Multivariate time series analysis
5. Efficient portfolios and capital asset pricing model
6. Factor pricing models
7. Portfolio allocation and risk assessment
8. Consumption-based CAPM
9. Present-value models
References
Author index

Financial econometrics is an interdisciplinary subject that uses statistical methods and economic theory to address a variety of quantitative problems in finance. This compact, master's-level textbook focuses on methodology and includes real financial data illustrations throughout. The mathematical level is purposely kept moderate, allowing the power of the quantitative methods to be understood without too much technical detail. Wherever possible, the authors indicate where to find the relevant R codes to implement the various methods. This book grew out of a course at Princeton University which is one of the world's flagship programs in computational finance and financial engineering. It will therefore be useful for those with an economics and finance background who are looking to sharpen their quantitative skills, and also for those with strong quantitative skills who want to learn how to apply them to finance.

Features
• Includes practical examples which are illustrated with real financial data
• Integrates statistical analysis with R and provides students with easy access to R code
• Consists of two integrated parts, with the first four chapters based on time series aspects of financial econometrics and the last five chapters covering cross-sectional aspects

Authors
• Jianqing Fan, Princeton University, New Jersey
Jianqing Fan is a statistician and financial econometrician. He is the current Frederick L. Moore '18 Professor of Finance and Professor of Statistics at Princeton University, New Jersey. His prizes include the Guggenheim Fellowship (2009), the Guy Medal in Silver (2014) and the COPSS Presidents' Award (2000). In 2012, he was elected Academician of Academia Sinica. He is a co-editor of the Journal of Econometrics and an associate editor of the Journal of the American Statistical Association.
• Qiwei Yao, London School of Economics and Political Science
Qiwei Yao is Professor of Statistics at the London School of Economics and Political Science. He is an associate editor for the Journal of the American Statistical Association and for the Journal of the Royal Statistical Society: Series B.