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Introductory Econometrics for Finance By Chris Brooks

Introductory Econometrics for Finance

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An introductory econometrics book for finance students. The approach adopted is data and problem driven, giving students the skills to estimate and interpret models, while having an intuitive grasp of the underlying theoretical concepts. The book assumes no prior knowledge of econometrics, and covers important modern topics.
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Introductory Econometrics for Finance Summary


Introductory Econometrics for Finance by Chris Brooks

This is the first textbook to teach introductory econometrics to finance majors. The text is data- and problem-driven, giving students the skills to estimate and interpret models, whilst having an intuitive grasp of the underlying theoretical concepts. The approach of Dr Brooks, based on the successful course he teaches at the Cass Business School, one of Europe's leading business schools, ensures that the text focuses squarely on the needs of finance students, including advice on planning and executing a project in empirical finance. The book assumes no prior knowledge of econometrics, and covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods. It includes detailed examples and case studies from the finance literature. Sample instructions and output from two popular and widely available computer packages (EViews and WinRATS) are presented as an integral part of the text.

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Introductory Econometrics for Finance Reviews


'New finance studies will like this book. It's clear and easy to follow and the RATs code is integrated with the algebra and provides value added ... the material is very applied and 'hands on' and it should have wide usage in the myriad of finance courses around.' International Journal of Finance & Economics
'This is an excellent textbook of econometrics for students of finance at the undergraduate as well as postgraduate levels. ... I consider this to be an excellent textbook of econometrics for the students as well as the practitioners in the area of finance.' Indian Journal of Statistics

Table of Contents


1. Introduction; 2. Econometric packages for modelling financial data; 3. A brief overview of the classical linear regression model; 4. Further issues with the classical linear regression model; 5. Univariate time series modelling and forecasting; 6. Multivariate modelling; 7. Modelling long-run relationships in finance; 8. Modelling volatility and correlation; 9. Modelling regime shifts; 10. Simulation methods; 11. Conducting empirical research in finance; 12. Conclusions: recent and future developments in the modelling of financial time series; References; Appendix: review of matrix algebra, calculus and probability theory; Statistical tables.

Additional information

GOR002248473
Introductory Econometrics for Finance by Chris Brooks
Chris Brooks
Used - Very Good
Paperback
Cambridge University Press
2002-08-01
728
052179367X
9780521793674
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
This is a used book - there is no escaping the fact it has been read by someone else and it will show signs of wear and previous use. Overall we expect it to be in very good condition, but if you are not entirely satisfied please get in touch with us.