Primary navigation:

QFINANCE Quick Links
QFINANCE Topics
QFINANCE Reference
Add the QFINANCE search widget to your website

Home > QFINANCE Dictionary > Definition of econometric model

Definition of

econometric model

Economics

set of mathematical equations representing economic relationships a way of representing the relationship between economic variables as an equation or set of equations with statistically precise parameters linking the variables

Recommended Further Reading (Term count)
  • We Need More Quants in Finance, Not Fewer
    by Alex McNeil
    Alexander McNeil, an expert on financial risk management, believes the reason that most European banks entered the recent credit crisis dangerously undercapitalized was because they failed to adopt an integrated, or “economic capital,” approach to assessing risk. This left them vulnerable once the crisis erupted and left many needing state support.McNeil is Maxwell Professor of Mathematics in the Department of Actuarial Mathematics and...
  • Forecasting Default Rates and the Credit Cycle
    by Martin S. Fridson
    Cycles play a major role in analysis aimed at achieving superior investment returns. Stock market participants base their valuations on corporate earnings, which fluctuate with the business cycle. The interest rate cycle strongly influences the performance of high-quality fixed-income assets, such as government bonds and mortgage-backed securities. Similarly, investors in corporate bonds, for which the risk of default is a material factor, can...
  • Interdependence of National and International Markets: The Foreign Information Transmission (FIT) Model
    by Boulis Ibrahim, Janusz Brzeszczynski
    The interdependence of national and international financial markets, both in returns and volatility, is well documented in the finance literature. Twenty-four-hour markets, such as the currency market, and less-continuous ones, such as stock markets, are known to exhibit correlation in returns and volatility both over time and across countries or regions. In many cases, such correlation has been increasing in recent decades. This apparent...

Definitions of ’econometric model’ and meaning of ’econometric model’ are from the book publication, QFINANCE – The Ultimate Resource, © 2009 Bloomsbury Information Ltd. Find definitions for ’econometric model’ and other financial terms with our online QFINANCE Financial Dictionary.

Back to top