Introductory Econometrics for Finance

by Chris Brooks

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.

Product Details

ISBN-13:	9780521694681
Publisher:	Cambridge University Press
Publication date:	05/22/2008
Edition description:	Revised Edition
Pages:	674
Product dimensions:	7.40(w) x 9.60(h) x 1.60(d)

About 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 Ph.D. 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.

Table of Contents

Preface to the fourth edition; 1. Introduction and mathematical foundations; 2. Statistical foundations and dealing with data; 3. A brief overview of the classical linear regression; 4. Further development of classical linear regression; 5. Classical linear regression model assumptions; 6. Univariate time-series modelling and forecasting; 7. Multivariate models; 8. Modelling volatility and correlation; 10. Switching and state space models; 11. Panel data; 12. Limited dependent variable models; 13. Simulation methods; 14. Additional econometric techniques for financial research; 15. Conducting empirical research; Appendix 1. Sources of data used in this book and the accompanying software manuals; Appendix 2. Tables of statistical distributions; Glossary; References; Index.

Editorial Reviews

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)

Booknews

'Introductory Econometrics for Finance covers a variety of financial applications and illustrates how econometrics methods can be used for each topic. Researchers and practitioners in finance will find this book invaluable. The new fourth edition is expanded with important topics of state space models and extreme value theory. Moreover, a free companion website with various software programs is essential for performing actual empirical analysis. I constantly recommend this text to Masters and undergraduate finance students.' Elena Goldman, Pace University, New York

'This is a good book introducing the general field of financial econometrics to students, assuming they have no prior knowledge of econometrics. Undergraduate, as well as beginning graduate, students should find the wide range of topics covered useful for not only getting a good toehold into the literature, but also to be able to apply the methods to data right away.' Prasad V. Bidarkota, Florida International University

'Professor Brooks’ book provides extraordinarily comprehensive treatment of econometric techniques with application to Finance. The unique feature of this book is the presentation of rich real-world case study examples. This is an ideal text book for MS in Finance, MBA with concentration in Finance and Seniors majoring in Finance. It is also an ideal text book for financial professional training and self-study.' George H. K. Wang, George Mason University, Virginia

'Chris Brooks' book is a rather unique offering in the space of financial econometrics because it is specifically targeted to finance students who do not necessarily have prior knowledge of econometric techniques. It's a first yet comprehensive resource to enable students to familiarize with concepts and tackle a broad range of empirical applications.' Walter Distaso, Imperial College London

'This new edition of Introductory Econometrics for Finance manages to give even further strength to its exhaustive, fine blend of contents and delivery, of methods and of interesting, relevant applications. This classical but always lively written textbook manages to make modern econometric approaches accessible to a wide audience of senior undergraduates and of graduate students first approaching econometrics, and at the same time leads a more experienced reader to ponder the power of statistics through a number of detailed case studies. The additional, advanced material on the Kalman filter and extreme value theory makes this textbook an invaluable classroom tool for a first approach to financial econometrics.' Massimo Guidolin, Università Commerciale Luigi Bocconi, Milan

'This is one of the most readable books on financial econometrics. It will be very useful for students of finance and economics. It covers a wide variety of topics that are of interest to researchers and practitioners, in both academia and industry.' Yong Bao, Purdue University, Indiana

From the Publisher