Applied Financial Econometrics

This textbook gives students an approachable, down to earth resource for the study of financial econometrics. While the subject can be intimidating, primarily due to the mathematics and modelling involved, it is rewarding for students of finance and can be taught and learned in a straightforward way. This book, going from basics to high level concepts, offers knowledge of econometrics that is intended to be used with confidence in the real world. This book will be beneficial for both students and tutors who are associated with econometrics subjects at any level.

“I have had the pleasure of knowing Moinak since his student days when he was an offsite intern for Bloomberg LP at Pondicherry University. He consistently impressed me with his rigor and tenacity. He brings the same spirit to the title "Applied Financial Econometrics". His work considers existing econometric theory and aspires to juxtapose it against emerging research and practice.” (Joel Pannikot, Head, India at CMT Association; Former Head of Asia-Pacific Strategy-Education, Bloomberg LP)

“Moinak Maiti’s book “Applied Financial Econometrics” provides a great introduction to a couple of highly relevant topics in empirical finance. The hands-on approach is a particular strength and guides students how to DO econometrics rather than just to know the concepts. While the book focuses on under- and postgraduate students, also young empirical researchers will benefit from it. A superb book for students and instructors.” (Professor Michael Frömmel, Finance Professor, Ghent University)

“The present book in Applied Financial Econometrics introduces relevant topics using econometrics to deal with financial problems. It is practically oriented and includes practical examples in every chapter showing the reader how to solve in a stepwise manner real case. For all that I highly recommend it.” (Professor Angel Barajas (Head, Department of Finance, Higher School of Economics)

 

“This is a must-read for anyone interested in entering the world of finance with quantitative focus. The author explains the theories with practical examples. Furthermore, I see very little need for any prerequisites. I recommend everyone interested in financial analytics in general to benefit from this book”. (Dr. Badri Narayanan Gopalakrishnan, Consultant Economists, McKinsey & Company)

 

“Moinak always had a knack of simplifying the most complex of problems, and that is exactly what he has very successfully done through this book. This is a must read for anyone wanting to understand the application of Econometrics to everyday problems”. (Kartik Palaniappan, South Asia Head, Buyside Order Management Solution, Bloomberg LP)

 

“Dr. Maiti’s “Applied Financial Econometrics” is an interesting read for students and professionals alike. The topics, although difficult, are nicely described and deal with real word applications”. (Dr. Cornel Nesseler, Postdoctoral Fellow, University of Zurich, & NTNU Business School)

“Author in his book titled “Applied Financial Econometrics” presents a new way of thinking about machine learning that gives its own place in the econometric toolbox through appropriate examples. The detailed deliberation on “Fat tailed distribution” will immensely help and guide investors in the money market, business entrepreneurs of all sectors. I recommend this book as a must read for all students aspiring to pursue Finance & Management Courses. I wish! Many more editions of this book will be published with the latest updates in years to come” (Dilip Kumar Bardhan, Additional General Manager (Retd.), NTPC Limited, Ministry of Power, Government of India)

“The book “Applied Financial Econometrics” will be aimed for theorists, practitioner, as well as for advanced students, from a wide range of econometrics, financial markets and institutions, corporate finance, and digital finance. This book develops insights on an innovative approach, in order to underpin practice and research in the area of financial econometrics” (Dr. Darko Vukovic, Head, International Laboratory for Finance and Financial Markets, People’s Friendship University of Russia “RUDN”)

“In “Applied financial econometrics”, this fantastic author guides us through the financial econometrics, a relative complicated issue even with finance students and lecturers, in a very simplistic but helpful manner. I enjoy reading his wonderful approach to include practical examples, software implementation, real world tasks, and also case studies. Notably, I am surprising with the update of this book as it has included current latest development in financial econometrics such as fat tails, threshold regression, and Wavelets analysis. I confidently recommend “Applied financial econometrics” and I trust that it would provide huge benefits for finance students but also promoting their future development” (Dr. Canh Phuc Nguyen, Senior Lecturer, University of Economics Ho Chi Minh City)

“This book is a sophisticated beautiful integration of Econometrics and real-world use of it…written in plain English, based on simplified notation and full of case studies. An important and practical combination for both academic and professionals. Highly recommended” (Sattwik Das, CFA, FRM, Independent Model Review Manager, HSBC)

“Today health economics is emerging as one of the challenging and interesting field to deal with especially for the applied econometricians. The Covid-19 pandemic raises several questions on the risk management related to healthcare, social insurance, spatial health econometrics and others. The author in this book has covered several important topics such as how to deal with the nonlinearity, fat tails, and heterogeneity existing in the data using the highly sophisticated techniques. Overall, I find this book is very helpful and highly recommended in the field of applied health econometrics.” (Dr. Mousam Maiti, MS-Otorhinolaryngology, Head & Neck Surgery, Resident Doctor, All India Institute of Medical Sciences Bhopal)

“Dr. Maiti's reader-friendly illustrations provide an amazing insight and wonderful learning platform on the real world applications in Financial Econometrics. Definitely, this book is going to inspire many students not only to enhance their technical knowhow but also foster a desire to pursue it as a career to work in the finance industry”.(Mihir Kumar Parial (Director (Retd.), Directorate General of Training, Ministry of Skill Development and Entrepreneurship, Government of India)

 

“This book on "Applied Financial Econometrics" enables students with real life problem solving skills in financial markets while giving intuitive grasp on the underlying concepts. The author has put in sincere efforts to keep the content practical, industry oriented and data driven to keep the students involved”. (Satya Venkata Chalapathi, Former Vice President of Singapore Mercantile Exchange)

 

“Prof. Maiti’s well-written textbook represents a novel and refreshing treatment of financial econometrics and should have be seen as bridge between theoretical econometrics and applied financial econometrics. Moreover, it is a practitioner friendly textbook. Even so complicated topics such as Wavelet analysis are treated at an accessible level. I consider it as a gift to graduate students in terms of discussing the terms, presenting topics and showing how to apply each method to real life data. Thus, I strongly advice the adaptation of Maiti’s book to my colleagues” (Professor Mustafa Özer, Economics Professor, Anadolu University)

“I have not seen a more thorough resource dedicated specifically to the practical aspects of financial econometrics. It will transform your understanding of topics related to financial econometrics ranging from basic to advanced spectrums. I would recommend this book to both the students and instructors of econometrics at different levels and for anyone looking to advance their knowledge and expand their scope of practice.” (Professor B. Charumathi, Head, Department of Management studies, Pondicherry University)

“Dr. Maiti has written a must-read primer for anyone considering financial econometrics… This book has several real world examples that take us towards the data sciences ... such as examples on forecasting, non-linear data series, predictive modelling etc. Read this book - and learn from one of the best.” (Dr. Amrit Mukherjee, Postdoctoral Fellow, Zhejiang University)

“The author’s proactive approach implies the active participation of the reader through solving tasks and various case studies. The multidisciplinary of the books is reflected in the usefulness that this material provides for risk analysis, asset management options, and financial theory in general. The book has significant use value at all levels of study in areas related to econometrics” (Dr. Duško Ranisavljević, Assistant Professor, Health and Business Studies, Singidunum University)

“This book has a lucid representation and relevant content for the 21st century financial econometrician. Highly recommended to all students, academicians and working professionals in this area as the book provides both theoretical as well as pragmatist insights.” (Dr. Abhijeet Lele, Assistant Professor, Symbiosis Institute of Business Management Pune)

“An indefatigable effort has been taken by the author to provide practical knowledge on trending topics of finance. This book going to make a difference.” (Srividya Mortha, Data Management Consultant, Wells Fargo)

“The book “Applied Financial Econometrics” deals with relevant and contemporary topics related to financial econometrics. The author gave a detailed and satisfactory literature dealing with this subject. The objective of the book sets the tone and expectations. This book guides thinking.” (Dr. Marko D. Petrović, Honorary Fellow, University of Wisconsin–Madison)

“This book is a complete balance between the theory and the practice. It is a comprehensive book with excellent features” (Dr. Saakshi, Assistant Professor, Indian Institute of Management Ranchi)

Moinak Maiti is Associate Professor in the Department of Finance, National Research University Higher School of Economics, Saint Petersburg, Russia