engleski

Econometrics in finance - methods, data, applications

This paper deals with econometric methods which can be of interest to many financial applications. We present the econometric way of researching problems in finance, with a special emphasis on the econometric building from financial theory, choosing an econometric estimation method, data collection, estimating the finance econometric model, evaluating of both theoretical and statistical results, and, finally, using the model for decision making or forecast. Following the econometric methods and proposals of Brooks (2002) for the econometric approach to financial models, there are some problems for both the researchers and the practitioners: a simple or a more complex model, i. e., a single equation model or a simultaneous equation one ; in regard to the identification problem, rearranging the model, for instance, by dropping a variable or adding a new one ; the problem about collecting data needed in the model - time series data, cross-sectional data or panel data, and so on. At the end, this article contains two illustrative examples.

single equation model; simultaneous equation model; financial data; financial econometrics; econometric methods; identification problem

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