Summary of the book

The purpose of this book was to present and explain, at the introductory level, a variety of techniques that are commonly used for the analysis of financial data, including topics that would usually be treated only in a mathematically advanced way. The book commenced with an outline of some stylised characteristics of financial data and described one econometric software package that is widely employed for the financial data exploration. The techniques and models presented included linear models, univariate linear time series approaches, dealing with non-stationary data and long-run modelling, models for volatility and correlation, limited dependent variable approaches, panel data, regime switching models and simulations methodologies. Along the way, examples were presented in each chapter of relevant financial applications from the published literature, and sample instructions or codes for the software package were also given.

What was not covered in the book

Although this textbook was intended to offer as broad a set of analytical techniques as possible, this in part conflicts with the twin objective of maintaining the book at a manageable length with all of the material at the introductory level so that it can be followed by students completely new to the subject on a one- or two-semester course. Consequently, some interesting and arguably relevant topics have been omitted owing to space constraints. These topics are discussed (with no equations and in no particular order!) below.