Preface to the third edition; Acknowledgements; 1. Introduction; 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; Glossary; References; Index.
The only econometrics textbook written specifically for finance students with no prior knowledge of econometrics, including extensive online student support.
Chris Brooks is Professor of Finance and Director of Research at the ICMA Centre, Henley Business School, University of Reading, where he also obtained his PhD. He has diverse research interests and has published over a hundred articles in leading academic and practitioner journals, and six books. He is Associate Editor of several journals, including the Journal of Business Finance and Accounting, the International Journal of Forecasting and the British Accounting Review. He acts as consultant and advisor for various banks, corporations and professional bodies in the fields of finance, real estate, and econometrics.
Review of previous edition: 'Very comprehensive, and it does a
sound job of covering the territory.' The Times Higher Education
Supplement
'… 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
Ask a Question About this Product More... |