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Introductory Econometrics for Finance

Introductory Econometrics for Finance

2nd Edition


  • Date Published: June 2008
  • availability: Replaced by 9781107661455
  • format: Paperback
  • isbn: 9780521694681


Replaced by 9781107661455
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About the Authors
  • 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
    Read more

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    Product details

    • Edition: 2nd Edition
    • Date Published: June 2008
    • format: Paperback
    • isbn: 9780521694681
    • length: 674 pages
    • dimensions: 246 x 189 x 34 mm
    • weight: 1.19kg
    • contains: 109 b/w illus. 65 tables
    • availability: Replaced by 9781107661455
  • Table of Contents

    List of figures
    List of tables
    List of boxes
    List of screenshots
    Preface to the second edition
    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

  • Resources for

    Introductory Econometrics for Finance

    Chris Brooks

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  • Author

    Chris Brooks, ICMA
    Chris Brooks is Professor of Finance at the ICMA Centre, University of Reading, UK, where he also obtained his PhD. He has published over 60 articles in leading academic and practitioner journals including The Journal of Business, The Journal of Banking and Finance, The Journal of Empirical Finance, The Review of Economics and Statistics and The Economic Journal. He has also acted as consultant for various banks and professional bodies in the fields of finance, econometrics and real estate.

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