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!
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: 1.58kg
- 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
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