Introductory Econometrics for Finance

Offers econometrics for finance students with no prior knowledge of the field. Includes case studies, examples and extensive online support.

Chris Brooks (Author)

9781108436823, Cambridge University Press

Paperback / softback, published 28 March 2019

724 pages, 98 b/w illus. 132 colour illus. 70 tables
24.6 x 18.9 x 2.7 cm, 1.54 kg

'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

A complete resource for finance students, this textbook presents the most common empirical approaches in finance in a comprehensive and well-illustrated manner that shows how econometrics is used in practice, and includes detailed case studies to explain how the techniques are used in relevant financial contexts. Maintaining the accessible prose and clear examples of previous editions, the new edition of this best-selling textbook provides support for the main industry-standard software packages, expands the coverage of introductory mathematical and statistical techniques into two chapters for students without prior econometrics knowledge, and includes a new chapter on advanced methods. 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. Online resources include extensive teacher and student support materials, including EViews, Stata, R, and Python software guides.

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.

Subject Areas: Probability & statistics [PBT], Finance [KFF], Economic statistics [KCHS], Econometrics [KCH]