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Introductory Econometrics for Finance

Introductory Econometrics for Finance

2nd Edition

$78.00

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

$78.00
Paperback

Replaced by 9781107661455
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  • 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
    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.

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    These resources are provided free of charge by Cambridge University Press with permission of the author of the corresponding work, but are subject to copyright. You are permitted to view, print and download these resources for your own personal use only, provided any copyright lines on the resources are not removed or altered in any way. Any other use, including but not limited to distribution of the resources in modified form, or via electronic or other media, is strictly prohibited unless you have permission from the author of the corresponding work and provided you give appropriate acknowledgement of the source.

    If you are having problems accessing these resources please email cflack@cambridge.org

  • Instructors have used or reviewed this title for the following courses

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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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