Introductory Econometrics For Finance

by Chris Brooks

• ISBN13: 9780521694681
• ISBN10: 052169468X
• Edition: 2nd
• Format: Paperback
• Copyright: 2008-06-09
• Publisher: Cambridge University Press

Summary

This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. Key features: · Thoroughly revised and updated, including two new chapters on panel data and limited dependent variable models · Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models · Detailed examples and case studies from finance show students how techniques are applied in real research · Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results · Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice · Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods · Thoroughly class-tested in leading finance schools

Table of Contents

List of figures

List of tables

List of boxes

List of screenshots

Preface to the second edition

Acknowledgements

Introduction

The classical linear regression model

Further development and analysis of the classical linear regression model

Classical linear regression model assumptions and diagnostic tests

Univariate time series modelling and forecasting

Multivariate models

Modelling long-run relationships in finance

Modelling volatility and correlation

Switching models

Panel data

Limited dependent variable models

Simulation methods

Empirical research and doing a project or dissertation

Recent and future developments

A review of some fundamental mathematical and statistical concepts

Tables of Statistical distributions

Sources of data used in this book

Index

Table of Contents provided by Publisher. All Rights Reserved.