Available:*
Library | Item Barcode | Call Number | Material Type | Item Category 1 | Status |
|---|---|---|---|---|---|
Searching... | 30000010206914 | HG173 B764 2008 | Open Access Book | Book | Searching... |
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Summary
Summary
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. Bundle with EViews student version 6 available. Please contact us for more details.
Table of Contents
| List of figures |
| List of tables |
| List of boxes |
| List of screenshots |
| Preface to the second edition |
| Acknowledgements |
| 1 Introduction |
| 2 The classical linear regression model |
| 3 Further development and analysis of the classical linear regression model |
| 4 Classical linear regression model assumptions and diagnostic tests |
| 5 Univariate time series modelling and forecasting |
| 6 Multivariate models |
| 7 Modelling long-run relationships in finance |
| 8 Modelling volatility and correlation |
| 9 Switching models |
| 10 Panel data |
| 11 Limited dependent variable models |
| 12 Simulation methods |
| 13 Empirical research and doing a project or dissertation |
| 14 Recent and future developments |
| Appendix 1 A review of some fundamental mathematical and statistical concepts |
| Appendix 2 Tables of Statistical distributions |
| Appendix 3 Sources of data used in this book |
| Index |
