|
Financial econometrics is a branch of financial economics, in the field of economics. It studies how the supply of capital, and its use, are viewed and measured. Areas of study include capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations. Favorite topics often revolve around asset valuation of individual stocks, bonds, derivatives, currencies and other financial instruments. This is different from other forms of econometrics because buyers and sellers are both offering financial assets. In other forms of econometrics, a financial assets are usually exchanged for goods or services. Financial Econometrics is mostly concerned with theoretical concepts, while mathematical finance will derive and extend the mathematical or numerical models suggested by financial economics, with more mathematical consistency and little regard for theoretical consistency. Why is the science of financial econometrics needed? If someone has a financial asset for sale, a buyer might ask, "This isn't a 'real' asset. I can't eat it, or build a house on it. Its just paper. I have no way to see what it is really worth. I don't want to be left holding an empty bag. How then should we view its value? How can we measure its value?" Theories that fall under the umbrella of financial econometrics can be devised to answer these questions. Having an established way to measure value is the foundation of commerce. Financial econometrics gives order and stability to complex markets which makes investing safer and more logical. It helps people to understand the fair value of complex financial assets. These financial assets might otherwise be completely illiquid. Financial econometrics brings a degree of liquidity to these financial assets, and even helps to create them. This boosts the buying power of the economy on a global scale. Financial econometrics is the subject of research that has been defined as the application of statistical techniques to problems in finance. People working in the finance industry or researching the finance sector often use econometric techniques in a range of activities – for example, in support of portfolio management, risk management and in the analysis of securities. The sort of topics that financial econometricians are typically familiar with include: * tests of the random walk hypothesis * event analysis * the capital asset pricing model * arbitrage pricing theory * the term structure of interest rates * dynamic models of economic equilibrium * nonlinear financial models such as autoregressive conditional heteroskedasticity ==Notes== 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Financial econometrics」の詳細全文を読む スポンサード リンク
|