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Introductory Econometrics for Finance
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  • 57 tables
  • Page extent: 728 pages
  • Size: 247 x 174 mm
  • Weight: 1.392 kg

Library of Congress

  • Dewey number: 332/.01/5195
  • Dewey version: 21
  • LC Classification: HG173 .B76 2002
  • LC Subject headings:
    • Finance--Econometric models
    • Econometrics
    • African Americans--Southern States--Economic conditions

Library of Congress Record


 (ISBN-13: 9780521793674 | ISBN-10: 052179367X)

This is the first textbook to teach introductory econometrics to finance majors. The text is data- and problem-driven, giving students the skills to estimate and interpret models, whilst having an intuitive grasp of the underlying theoretical concepts. The approach of Dr Brooks, based on the successful course he teaches at the Cass Business School, one of Europe's leading business schools, ensures that the text focuses squarely on the needs of finance students, including advice on planning and executing a project in empirical finance. The book assumes no prior knowledge of econometrics, and covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods. It includes detailed examples and case studies from the finance literature. Sample instructions and output from two popular and widely available computer packages (EViews and WinRATS) are presented as an integral part of the text.

• Chris Brooks is a rising star within econometrics teaching and research; this textbook is based around his highly successful lecture programme • The follow up book to two very successful Press books in this area (MILLS/The Econometric Modelling of Financial Time Series; HARVEY/The Forecasting of Structural Time Series) • An easy-to-follow, up-to-date exposition including numerous examples and case studies, making this the most accessible book in this area, and the best starting-point for non-specialists


1. Introduction; 2. Econometric packages for modelling financial data; 3. A brief overview of the classical linear regression model; 4. Further issues with the classical linear regression model; 5. Univariate time series modelling and forecasting; 6. Multivariate modelling; 7. Modelling long-run relationships in finance; 8. Modelling volatility and correlation; 9. Modelling regime shifts; 10. Simulation methods; 11. Conducting empirical research in finance; 12. Conclusions: recent and future developments in the modelling of financial time series; References; Appendix: review of matrix algebra, calculus and probability theory; Statistical tables.


'New finance studies will like this book. It's clear and easy to follow and the RATs code is integrated with the algebra and provides value added … the material is very applied and 'hands on' and it should have wide usage in the myriad of finance courses around.' International Journal of Finance & Economics

'This is an excellent textbook of econometrics for students of finance at the undergraduate as well as postgraduate levels. … I consider this to be an excellent textbook of econometrics for the students as well as the practitioners in the area of finance.' Indian Journal of Statistics

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