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Introductory Econometrics for Finance
SECOND EDITION
Chris Brooks
This best-selling textbook addresses the need for an introduction to
econometrics specifically written for finance students. It includes
examples and case studies which finance students will recognise and
relate to. This new edition builds on the successful data- and
problem-driven approach of the first edition, giving students the skills to
estimate and interpret models while developing an intuitive grasp of
underlying theoretical concepts.
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
Chris Brooks is Professor of Finance at the ICMA Centre, University of
Reading, UK, where he also obtained his PhD. He has published over
sixty articles in leading academic and practitioner journals including
the Journal of Business, the Journal of Banking and Finance, the Journal of
Empirical Finance, the Review of Economics and Statistics and the Economic
Journal. He is an associate editor of a number of journals including the
International Journal of Forecasting. He has also acted as consultant for
various banks and professional bodies in the fields of finance,
econometrics and real estate.
Introductory_Econometrics_for_Finance.pdf
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