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Introductory econometrics for finance / Chris Brooks

Main Author Brooks, Chris, 1971- Country Reino Unido. Edition 2nd ed., 6th printing Publication Cambridge : Cambridge University Press, imp. 2011 Description XXIV, 648 p. : il. ; 25 cm ISBN 978-0-521-69468-1 CDU 330.115
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Monografia Biblioteca Geral da Universidade do Minho
BGUM 330.115 - B Checked out 2022-02-02 416259

Mestrado em Finanças Econometria Financeira 1º semestre

Mestrado em Economia Monetária, Bancária e Financeira Tópicos de Econometria 1º semestre

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Enhanced descriptions from Syndetics:

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 provided by Syndetics

  • 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

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