Financial Econometrics

This comprehensive textbook offers a thorough introduction to financial econometrics, combining fundamental principles with modern developments in finance and econometric modeling. Written by one of the field’s leading experts, it covers key topics such as asset pricing, financial markets, and market microstructure while linking theory to real-world financial applications. Featuring worked exercises, empirical examples, and insights drawn from internationally taught courses, the book provides students in economics, finance, statistics, mathematics, and engineering with a practical and up-to-date understanding of financial econometric methods.