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雷达卡
Introductory Econometrics for Finance
SECOND EDITION
by Chris Brooks
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TABLE OF CONTENTS
1 Introduction 1
2 A brief overview of the classical linear regression model 27
3 Further development and analysis of the classical linear regression model 88
4 Classical linear regression model assumptions and diagnostic tests 129
5 Univariate time series modelling and forecasting 206
6 Multivariate models 265
7 Modelling long-run relationships in finance 318
8 Modelling volatility and correlation 379
9 Switching models 451
10 Panel data 487
11 Limited dependent variable models 511
12 Simulation methods 546
13 Conducting empirical research or doing a project or dissertation in finance 585
14 Recent and future developments in the modelling of financial time series 598
Appendix 1 A review of some fundamental mathematical and statistical concepts 607
Appendix 2 Tables of statistical distributions 616
Appendix 3 Sources of data used in this book 628
[此贴子已经被作者于2009-2-2 12:47:29编辑过]
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