Skip to content
Register Sign in Wishlist
Look Inside The Elements of Financial Econometrics

The Elements of Financial Econometrics

$76.99 (C)

  • Authors:
  • Jianqing Fan, Princeton University, New Jersey
  • Qiwei Yao, London School of Economics and Political Science
  • Date Published: April 2017
  • availability: Available
  • format: Hardback
  • isbn: 9781107191174

$ 76.99 (C)

Add to cart Add to wishlist

Looking for an examination copy?

If you are interested in the title for your course we can consider offering an examination copy. To register your interest please contact providing details of the course you are teaching.

Product filter button
About the Authors
  • 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.

    • 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
    Read more

    Reviews & endorsements

    'The Elements of Financial Econometrics is a compact introduction to quantitative methods for financial professionals who want to improve their quantitative skill set. The book is a survey of the statistical tools and associated applications needed by those who seek to use quantitative methods and empirical rigor in their analyses.' Nick Ronalds, Financial Analysts Journal

    Customer reviews

    Not yet reviewed

    Be the first to review

    Review was not posted due to profanity


    , create a review

    (If you're not , sign out)

    Please enter the right captcha value
    Please enter a star rating.
    Your review must be a minimum of 12 words.

    How do you rate this item?


    Product details

    • Date Published: April 2017
    • format: Hardback
    • isbn: 9781107191174
    • length: 392 pages
    • dimensions: 250 x 175 x 23 mm
    • weight: 0.91kg
    • contains: 6 b/w illus. 92 colour illus. 26 tables 90 exercises
    • availability: Available
  • Table of Contents

    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
    Author index
    Subject index.

  • Resources for

    The Elements of Financial Econometrics

    Jianqing Fan, Qiwei Yao

    General Resources

    Find resources associated with this title

    Type Name Unlocked * Format Size

    Showing of

    Back to top

    This title is supported by one or more locked resources. Access to locked resources is granted exclusively by Cambridge University Press to instructors whose faculty status has been verified. To gain access to locked resources, instructors should sign in to or register for a Cambridge user account.

    Please use locked resources responsibly and exercise your professional discretion when choosing how you share these materials with your students. Other instructors may wish to use locked resources for assessment purposes and their usefulness is undermined when the source files (for example, solution manuals or test banks) are shared online or via social networks.

    Supplementary resources are subject to copyright. Instructors are permitted to view, print or download these resources for use in their teaching, but may not change them or use them for commercial gain.

    If you are having problems accessing these resources please contact

  • 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.

Related Books

Sorry, this resource is locked

Please register or sign in to request access. If you are having problems accessing these resources please email

Register Sign in
Please note that this file is password protected. You will be asked to input your password on the next screen.

» Proceed

You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner Please see the permission section of the catalogue page for details of the print & copy limits on our eBooks.

Continue ×

Continue ×

Continue ×
warning icon

Turn stock notifications on?

You must be signed in to your Cambridge account to turn product stock notifications on or off.

Sign in Create a Cambridge account arrow icon

Find content that relates to you

Join us online

This site uses cookies to improve your experience. Read more Close

Are you sure you want to delete your account?

This cannot be undone.


Thank you for your feedback which will help us improve our service.

If you requested a response, we will make sure to get back to you shortly.

Please fill in the required fields in your feedback submission.