Econometrics for Financial Applications

This book addresses both theoretical developments in and practical applications of econometric techniques to finance-related problems. It includes selected edited outcomes of the International Econometric Conference of Vietnam (ECONVN2018), held at Banking University, Ho Chi Minh City, Vietnam on January 15-16, 2018.

Econometrics is a branch of economics that uses mathematical (especially statistical) methods to analyze economic systems, to forecast economic and financial dynamics, and to develop strategies for achieving desirable economic performance.

An extremely important part of economics is finances: a financial crisis can bring the whole economy to a standstill and, vice versa, a smart financial policy can dramatically boost economic development. It is therefore crucial to be able to apply mathematical techniques of econometrics to financial problems. Such applications are a growing field, with many interesting results and an even larger number of challenges and open problems.

Includes selected edited outcomes of the International Econometric Conference of Vietnam (ECONVN2018), held at Banking University, Ho Chi Minh City, Vietnam on January 15-16, 2018 Presents recent research on econometrics for financial applications Introduces readers to the theoretical foundations and applications of econometric techniques to finance-related problems Written by respected experts in the field Includes supplementary material: sn.pub/extras

Inhalt

Testing, Prediction, and Cause in Econometric Models.- Information Criteria for Statistical Modeling in Data-Rich Era.- An invitation to quantum econometrics.- GL+ and GL- Regressions.- What If We Do Not Know Correlations?.- Markowitz Portfolio Theory Helps Decrease Medicines' Side Effect and Speed Up Machine Learning.