Financial Econometrics
Models and Methods

'This book is brilliant. Broad and self-contained, it provides a masterful treatment of classic and modern financial econometrics. An easy-to-read presentation of models, methods, and empirical applications takes the reader through an array of highly relevant topics ranging from return predictability to tail estimation. It strikes a perfect balance between finance and econometrics. I strongly recommend the book for anyone interested in financial econometrics. Loriano Mancini, Swiss Finance Institute and Università della Svizzera italiana

'Financial Econometrics: Models and Methods by Oliver Linton provides an up-to-date and comprehensive treatment of financial econometrics for masters-level and doctoral students in finance or financial economics. Despite the author's sterling reputation as a theoretical econometrician, the book does not get bogged down in abstract derivations; it has a 'hands-on' style, illustrating each new method with empirical results and encouraging students to use statistical software to apply the methods themselves.' Gregory Connor, Maynooth University

'This is an excellent postgraduate textbook for financial econometrics, written by a leading researcher in the field who serves in a variety of advisory roles in the financial markets. The book provides a comprehensive treatment of numerous recent developments that are not yet covered by existing texts, including those in up-to-date empirical regularities, market microstructure and multifactor models. Students will also find the included software routines particularly useful for research projects.' Bonsoo Koo, Monash University, Melbourne

'Oliver Linton is an expert in financial econometrics and he communicates his expertise very well in this book.' Ekaterina Smetanina, University of Chicago

'Finally - a book that combines modern financial theory and practice, economic theory, econometrics, time series, statistics and characteristics of financial data perfectly. This is a book written by a world leading scholar in the area. It is well suited for advanced undergraduate and graduate level courses on financial econometrics. I am looking forward to using it for my own teaching and research in the coming years.' Xiaohong Chen, Yale University, Connecticut

'… this book is a good companion with added clarity … The reader will appreciate his strong theoretical guide for any research replication.' Mark S. Rzepczynski, Enterprising Investor (https://blogs.cfainstitute.org/investor/)

'The key strength of the book lies in its careful presentation of the mathematical foundations of financial econometrics, using rigorous yet accessible style. It would be particularly appreciated by students who are not intimidated by a more technical approach. For courses that are targeted towards a broad range of student background and interests, this book could be a very good complement to a standard textbook, which would facilitate interested students to acquire a deeper understanding of financial econometric methodologies.' Colin Rogers, Economic Record