Introductory econometrics for finance

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.

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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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Bound With These Titles

On Order

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Table of Contents