What we have learnt from financial econometrics modeling?

Elwardi Dhaoui

MPRA Paper from University Library of Munich, Germany

Abstract: A central issue around which the recent growth literature has evolved is that of financial econometrics modeling. Expansions of interest in the modeling and analyzing of financial data and the problems to which they are applied should be taken in account.This article focuses on econometric models widely and frequently used in the examination of issues in financial economics and financial markets, which are scattered in the literature. It begins by laying out the intimate connections between finance and econometrics. We will offer an overview and discussion of the contemporary topics surrounding financial econometrics. Then, the paper follows the financial econometric modeling research conducted along some different approaches that consist of the most influential statistical models of financial-asset returns, namely Arch-Garch models; panel models and Markov Switching models. This is providing several information bases for analysis of financial econometrics modeling.

Keywords: financial modeling; Arch-Garch models; panel models; Markov Switching models. (search for similar items in EconPapers)
JEL-codes: G00 G17 G39 (search for similar items in EconPapers)
Date: 2013
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https://mpra.ub.uni-muenchen.de/87356/1/MPRA_paper_87356.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:63843

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