This bestselling and thoroughly classroom-tested textbook is a complete resource for finance students. A comprehensive and illustrated discussion of the most common empirical approaches in finance prepares students for using econometrics in practice, while detailed case studies help them understand how the techniques are used in relevant financial contexts. Worked examples from the latest version of the popular statistical software EViews guide students to implement their own models and interpret results. 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. Building on the successful data- and problem-driven approach of previous editions, this third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time. A companion website, with numerous student and instructor resources, completes the learning package.Read more
- A complete package for finance students - assumes no background in econometrics
- Includes full web support for students and instructors, with data sets, additional chapter questions (with answers provided), lecture slides, support for popular statistical software packages and links to sources of financial data and articles
- Incorporates data, tutorials and screenshots from the latest version of the statistical software EViews
- Includes worked examples on how to conduct events studies and the Fama-MacBeth method, two of the most common empirical approaches in finance, ensuring that students are well-prepared for econometrics in practice
Reviews & endorsements
Review of previous edition:
"Very comprehensive, and it does a sound job of covering the territory."
The Times Higher Education SupplementSee more reviews
"… there is an ever greater need for a textbook like this that applies relevant econometric topics to the field of finance. The book explains difficult concepts in a clear and easily understandable way, with plenty of real-world practical illustrations. A particularly welcome feature, and extremely helpful to students, is the use of examples with computer printouts on how to estimate models using the Eviews software. I highly recommend it."
Bruce Morley, University of Bath
"… essential reading for my courses in both applied and financial econometrics. The topics cut across both the conventional and the modern. The exploration of the subject matter is in-depth and reflective of both rigour and simplicity."
Tapas Mishra, Swansea University
"The book adopts an extremely reader-friendly approach to discuss a challenging field."
Nikolaos Voukelatos, Kent Business School
"This excellent book provides practical econometric solutions for empirical finance. It is an ideal textbook for introductory courses on financial econometrics …"
Minjoo Kim, Adam Smith Business School, University of Glasgow
04th Mar 2015 by Asteroid
The book is so wonderful and it is really helpful for me to do the research!See all reviews
06th Oct 2015 by Samiemu
good applicable reliable, I am really happy with your services as a research assistant.
15th Dec 2016 by SimonCottrell
Fantastic book for those wanting to either brush-up on econometrics or start from scratch. Great for honours, masters and PhD (Finance) students undertaking quantitative research.
Review was not posted due to profanity×
- Edition: 3rd Edition
- Date Published: June 2014
- format: Paperback
- isbn: 9781107661455
- length: 740 pages
- dimensions: 247 x 190 x 31 mm
- weight: 1.59kg
- contains: 132 colour illus. 70 tables
- availability: In stock
Table of Contents
Preface to the third edition
2. Mathematical and statistical foundations
3. A brief overview of the classical linear regression model
4. Further development and analysis of the classical linear regression model
5. Classical linear regression model assumptions and diagnostic tests
6. Univariate time series modelling and forecasting
7. Multivariate models
8. Modelling long-run relationships in finance
9. Modelling volatility and correlation
10. Switching models
11. Panel data
12. Limited dependent variable models
13. Simulation methods
14. Conducting empirical research or doing a project or dissertation in finance
Appendix 1. Sources of data used in this book
Appendix 2. Tables of statistical distributions
Welcome to the resources site
Here you will find free-of-charge online materials to accompany this book. The range of materials we provide across our academic and higher education titles are an integral part of the book package whether you are a student, instructor, researcher or professional.
Find resources associated with this titleYour search for '' returned .
Type Name Unlocked * Format Size
*This title has one or more locked files and access is given only to instructors adopting the textbook for their class. We need to enforce this strictly so that solutions are not made available to students. To gain access to locked resources you either need first to sign in or register for an account.
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 email@example.com
Sorry, this resource is locked
Please register or sign in to request access. If you are having problems accessing these resources please email firstname.lastname@example.orgRegister Sign in
You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner www.ebooks.com. Please see the permission section of the www.ebooks.com catalogue page for details of the print & copy limits on our eBooks.Continue ×