Introductory econometrics for finance / Chris Brooks, The ICMA Centre, Henley Business School, University of Reading.

By:

Brooks, Chris, 1971-

Publication details: Cambridge ; New York : Cambridge University Press, 2014.Edition: Third editionDescription: xxiv, 716 pages ; 25 cmISBN:

9781107661455

Subject(s):

Contents:

1. Introduction -- 2. Mathematical and statistical foundations -- 3. A brief overview of the classical linear regression model -- 4. Further development and analysis of the classical linear regression model -- 5. Classical linear regression model assumptions and diagnostic tests -- 6. Univariate time series modelling and forecasting -- 7. Multivariate models -- 8. Modelling long-run relationships in finance -- 9. Modelling volatility and correlation -- 10. Switching models -- 11. Panel data -- 12. Limited dependent variable models -- 13. Simulation methods -- 14. Conducting empirical research or doing a project or dissertation in finance -- Appendix 1. Sources of data used in this book -- Appendix 2. Tables of statistical distributions.

Summary: "This bestselling and thoroughly classroom-tested textbook is a complete resource for finance students. A comprehensive and illustrated discussion of the most common empirical approaches in finance prepares students for using econometrics in practice, while detailed case studies help them understand how the techniques are used in relevant financial contexts. Worked examples from the latest version of the popular statistical software EViews guide students to implement their own models and interpret results. Learning outcomes, key concepts and end-of-chapter review questions (with full solutions online) highlight the main chapter takeaways and allow students to self-assess their understanding. Building on the successful data- and problem-driven approach of previous editions, this third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time."--Publisher's website.

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Books	Library and Documentation Division PGRRL	332.015195 B791I-3 (Browse shelf(Opens below))	Available		113165

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Previous	332 Ou7 Our money our lives :	332 Sa73M Microfinance	332.015118 B72I An introduction to financial markets :	332.015195 B791I-3 Introductory econometrics for finance /	332.015195 G621M The mathematics of finance :	332.0285554 R25P Principles of financial modelling:	332.0415068 B469M-4 Management of financial services /	Next

Includes bibliographical references (pages 697 -709) and index.

1. Introduction --
2. Mathematical and statistical foundations --
3. A brief overview of the classical linear regression model --
4. Further development and analysis of the classical linear regression model --
5. Classical linear regression model assumptions and diagnostic tests --
6. Univariate time series modelling and forecasting --
7. Multivariate models --
8. Modelling long-run relationships in finance --
9. Modelling volatility and correlation --
10. Switching models --
11. Panel data --
12. Limited dependent variable models --
13. Simulation methods --
14. Conducting empirical research or doing a project or dissertation in finance --
Appendix 1. Sources of data used in this book --
Appendix 2. Tables of statistical distributions.

"This bestselling and thoroughly classroom-tested textbook is a complete resource for finance students. A comprehensive and illustrated discussion of the most common empirical approaches in finance prepares students for using econometrics in practice, while detailed case studies help them understand how the techniques are used in relevant financial contexts. Worked examples from the latest version of the popular statistical software EViews guide students to implement their own models and interpret results. Learning outcomes, key concepts and end-of-chapter review questions (with full solutions online) highlight the main chapter takeaways and allow students to self-assess their understanding. Building on the successful data- and problem-driven approach of previous editions, this third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time."--Publisher's website.

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