Introductory Econometrics for Finance

Introductory Econometrics for Finance

4.02 (48 ratings by Goodreads)
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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. A companion website, with numerous student and instructor resources, completes the learning more

Product details

  • Electronic book text
  • Cambridge University Press (Virtual Publishing)
  • Cambridge, United Kingdom
  • Revised
  • 3rd Revised edition
  • 132 colour illus. 70 tables
  • 1139898825
  • 9781139898829

Table of contents

Preface to the third edition; Acknowledgements; 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; Glossary; References; more

About Chris Brooks

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 more

Review quote

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 Glasgowshow more

Rating details

48 ratings
4.02 out of 5 stars
5 33% (16)
4 38% (18)
3 27% (13)
2 2% (1)
1 0% (0)
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