Introductory Econometrics for Finance / Edition 2

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Overview

This introduction to contemporary topics in the modelling of financial time series is data and problem driven, giving students the skills to estimate and interpret models, and intuitively grasp the underlying theoretical econometrics. An introductory knowledge of calculus, algebra, statistics and regression analysis is assumed. The book focuses on the needs of finance students and uses pedagogic textbook features throughout, notably in the later chapters, which offer advice on planning and executing a project in empirical finance, and which also evaluates sources of on-line financial information.
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Editorial Reviews

Booknews
Introducing students to the econometric techniques commonly used in finance literature, Brooks (financial econometrics, ISMA Centre, U. of Reading, UK) covers the classical linear regression model, univariate time series modeling and forecasting, multivariate models, modeling long-run relationships in finance, modeling volatility and correlation, switching models, simulation methods, conducting empirical research, and future developments in the modeling of financial time series. The material was written for students at the Masters or undergraduate level. Annotation c. Book News, Inc., Portland, OR (booknews.com)
From the Publisher
Review of previous edition:
"Very comprehensive, and it does a sound job of covering the territory."
The Times Higher Education Supplement

"… there is an ever greater need for a textbook like this that applies relevant econometric topics to the field of finance. The book explains difficult concepts in a clear and easily understandable way, with plenty of real-world practical illustrations. A particularly welcome feature, and extremely helpful to students, is the use of examples with computer printouts on how to estimate models using the Eviews software. I highly recommend it."
Bruce Morley, University of Bath

"… essential reading for my courses in both applied and financial econometrics. The topics cut across both the conventional and the modern. The exploration of the subject matter is in-depth and reflective of both rigour and simplicity."
Tapas Mishra, Swansea University

"The book adopts an extremely reader-friendly approach to discuss a challenging field."
Nikolaos Voukelatos, Kent Business School

"This excellent book provides practical econometric solutions for empirical finance. It is an ideal textbook for introductory courses on financial econometrics …"
Minjoo Kim, Adam Smith Business School, University of Glasgow

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Product Details

  • ISBN-13: 9780521694681
  • Publisher: Cambridge University Press
  • Publication date: 5/22/2008
  • Edition description: Revised Edition
  • Edition number: 2
  • Pages: 672
  • Sales rank: 915,670
  • Product dimensions: 7.40 (w) x 9.60 (h) x 1.60 (d)

Meet the Author

Chris Brooks is Professor of Finance and Director of Research at the ICMA Centre, Henley Business School, University of Reading, where he also obtained his PhD. He has diverse research interests and has published over a hundred articles in leading academic and practitioner journals, and six books. He is Associate Editor of several journals, including the Journal of Business Finance and Accounting, the International Journal of Forecasting and the British Accounting Review. He acts as consultant and advisor for various banks, corporations and professional bodies in the fields of finance, real estate, and econometrics.
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Table of Contents

List of figures
List of tables
List of boxes
List of screenshots
Preface
Acknowledgements
1 Introduction 1
2 Econometric packages for modelling financial data 15
3 A brief overview of the classical linear regression model 42
4 Further issues with the classical linear regression model 133
5 Univariate time series modelling and forecasting 229
6 Multivariate models 302
7 Modelling long-run relationships in finance 367
8 Modelling volatility and correlation 437
9 Switching models 533
10 Simulation methods 577
11 Conducting empirical research or doing a project or dissertation in finance 632
12 Recent and future developments in the modelling of financial time series 645
App. 1 A review of some fundamental mathematical and statistical concepts 655
App. 2 Tables of statistical distributions 668
References 680
Index 693
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Customer Reviews

Average Rating 5
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Sort by: Showing all of 2 Customer Reviews
  • Anonymous

    Posted November 15, 2009

    useful

    this book is so clear and useful for students who wants to understand econometrics and it shows how to use the E-views step by step
    i learned a lot from it

    Was this review helpful? Yes  No   Report this review
  • Anonymous

    Posted February 8, 2010

    No text was provided for this review.

Sort by: Showing all of 2 Customer Reviews

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