The studies of econometric refer to the data analysis tool and the statistical calculations involved in explaining a specific economic phenomenon. There are multiple books that can be a good source for gathering knowledge of this technical domain. However, here are the best ten books that can make your learning of financial econometrics go beyond just basic. All these books will be effective if you wish to become a quantitative trader.
1. Schaum’s Outline of Probability and Statistics, 4th Edition
Compiled by Spiegel, Schiller, and Srinivasan, this book can be a great guide to understanding the basic tools of statistics and probabilities that rule the foundation of financial econometrics.
2. Schaum’s Outline of Statistics and Econometrics, 2nd Edition
Compiled by Salvatore and Reagle, this book is another source for great statistical understanding. Discussions relating the base of econometrics to the tools of statistics and probabilities are available here.
3. Introductory Econometrics for finance
Simple linear regression, multiple linear regression, time series analysis, and analysis of the GARCH model are some of the key aspects of this book by Chris Book. the language is easy, it has become a popular text for many quant traders.
4. A Guide to Econometrics, 6th Edition
You get to know the concept of violation of assumptions in the models through this book and also develop a sense of what to do in such a situation. Being unconventional in approach, this is a great book on financial econometrics.
5. Introduction to Computational Finance and Financial Econometrics
This Eric Zivot book will be a great addition to your set of financial econometrics books. Ascending the discussions from asset returns to the univariate and bivariate statistical distributions, this book offers a wide spectrum of knowledge for those who are willing to take up the career in quant trading. From Monte Carlo modeling, bootstrapping to portfolio theory and risk budgeting, this book aligns with every aspect of financial econometrics.
6. Statistics and Data Analysis for Financial Engineering
It is one of the prime recommendations for the course courses and is written by Ruppert. It covers a great extent of topics from basic asset returns to risk management. The elaborate discussions of GARCH and the CAPM model add to the value of this book. The solved examples did through R language lend the book a competitive edge over the others in the market.
7. Time Series Analysis
A book by Hamilton, the time series analysis is a book on financial econometrics that has stood the test of time and has been there for quite a while now in the market. Starting with ARMA processes and forecasting, the book gradually transcends into the principles of spectral analysis and asymptotic distribution.
8. Analysis of financial time series
Another pillar to the studies of financial econometrics is the book by Tsay. It unveils the aspects of high-frequency trading and has elaborate discussions on nonlinear time series and duration models. Particularly useful for practicing algorithmic traders, this book focuses on time series methods from the perspective of the investors.
9. Pre-Print Servers- arXiv, SSRN
The accounts of the SSRN and the arXiv computational finance section highlight a lot of fresh ideas and research materials on financial econometrics. Though it might be difficult at times to select the correct and the most methodical papers for reading, with the advantage of the preprint server you can always keep the essential at the top of your reading list.
10. Journals of Econometrics and Finance
Financial econometrics is a domain that keeps on reinventing new dimensions every other day. Hence, it is important that the journals are followed rigorously which contains a precise account of all the developments going around.
