Cambridge Catalogue  
  • Your account
  • View basket
  • Help
Home > Catalogue > Introductory Econometrics for Finance
Introductory Econometrics for Finance

Resources and solutions

This title has free online support material available.


  • 109 b/w illus. 65 tables
  • Page extent: 674 pages
  • Size: 247 x 174 mm
  • Weight: 1.19 kg



 (ISBN-13: 9780521694681)

  • There was also a Hardback of this title but it is no longer available | Adobe eBook
  • Published May 2008

Replaced by 9781107661455

 (Stock level updated: 12:10 GMT, 01 September 2015)



  • Lecturers can request inspection copies of this title.
  • Courses: • Econometrics for Finance, Empirical Finance, Quantitative Methods for Finance, Financial Econometrics • Finance, Economics, Business departments

This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. Key features: • Thoroughly revised and updated, including two new chapters on panel data and limited dependent variable models • Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models • Detailed examples and case studies from finance show students how techniques are applied in real research • Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results • Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice • Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods • Thoroughly class-tested in leading finance schools. Bundle with EViews student version 6 available. Please contact us for more details.

• First edition sold over 18,000 copies worldwide • Contains new case studies on firm financing, credit ratings, banking competition, tests of purchasing power parity, and evaluation of mutual fund manager performance • New and improved companion website with freely downloadable financial data, answers to end-of-chapter questions, PowerPoint slides and useful links


List of figures; List of tables; List of boxes; List of screenshots; Preface to the second edition; Acknowledgements; 1. Introduction; 2. The classical linear regression model; 3. Further development and analysis of the classical linear regression model; 4. Classical linear regression model assumptions and diagnostic tests; 5. Univariate time series modelling and forecasting; 6. Multivariate models; 7. Modelling long-run relationships in finance; 8. Modelling volatility and correlation; 9. Switching models; 10. Panel data; 11. Limited dependent variable models; 12. Simulation methods; 13. Empirical research and doing a project or dissertation; 14. Recent and future developments; Appendix 1: A review of some fundamental mathematical and statistical concepts; Appendix 2: Tables of statistical distributions; Appendix 3: Sources of data used in this book; Index.


'Very comprehensive, and it does a sound job of covering the territory.' The Times Higher Education Supplement

printer iconPrinter friendly version AddThis