[学科前沿] [求助]Software: Rats [推广有奖]

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hanszhu 发表于 2005-2-15 10:19:00

Introductory Econometrics for Finance

Chris Brooks

Cass Business School, London

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 ISMA Centre, one of Europe's leading finance 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. Extensive web-based supporting materials are available free of charge.

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

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

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