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.
This introduction to contemporary topics in the modelling of financial time series is data and problem driven, giving students the skills to estimate and interpret models, and intuitively grasp the underlying theoretical econometrics. An introductory knowledge of calculus, algebra, statistics and regression analysis is assumed. The book focuses on the needs of finance students and uses pedagogic textbook features throughout, notably in the later chapters, which offer advice on planning and executing a project in empirical finance, and which also evaluates sources of on-line financial information.
Chris Brooks is Professor of Finance and Director of Research at the ICMA Centre. He was formerly Professor of Finance at the Cass Business School, London. He holds a PhD and a BA in Economics and Econometrics, both from the University of Reading. His areas of research interest include asset pricing, fund management, statistical issues in risk management, and econometric analysis and modelling in finance and real estate. He has published widely in these areas, and has over sixty articles in leading academic and practitioner journals including the Journal of Business, Economic Journal, Financial Analysts Journal, Journal of Banking and Finance, and Journal of Empirical Finance. Chris is Associate Editor of several journals, including the JBFA and the International Journal of Forecasting. He is also a member of the RAE 2008 Accounting and Finance sub-panel has and acts as consultant for various banks and professional bodies in the fields of finance, real estate, and econometrics.
He is Course Convenor of the Portfolio Management and Introductory Finance modules on the undergraduate degree, and also teaches on the MSc and PhD programmes.
Chris is also author of the first introductory econometrics textbook targeted at finance students, "Introductory Econometrics for Finance" (2002, Cambridge University Press), which is now in its second edition and has now sold over 20,000 copies worldwide.