Introductory Econometrics for Finance

4. Auflage. Revised 2019
ISBN: 978-1-108-43682-3
Verlag: Cambridge University Pr.

Buch, Englisch, 750 Seiten, Format (B × H): 191 mm x 245 mm, Gewicht: 1534 g

A complete resource for finance students, this textbook presents the most common empirical approaches in finance in a comprehensive and well-illustrated manner that shows how econometrics is used in practice, and includes detailed case studies to explain how the techniques are used in relevant financial contexts. Maintaining the accessible prose and clear examples of previous editions, the new edition of this best-selling textbook provides support for the main industry-standard software packages, expands the coverage of introductory mathematical and statistical techniques into two chapters for students without prior econometrics knowledge, and includes a new chapter on advanced methods. Learning outcomes, key concepts and end-of-chapter review questions (with full solutions online) highlight the main chapter takeaways and allow students to self-assess their understanding. Online resources include extensive teacher and student support materials, including EViews, Stata, R, and Python software guides.

Autoren/Hrsg.

Brooks, Chris

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Wirtschaftsstatistik, Demographie
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik

Inhaltsverzeichnis

Preface to the fourth edition; 1. Introduction and mathematical foundations; 2. Statistical foundations and dealing with data; 3. A brief overview of the classical linear regression; 4. Further development of classical linear regression; 5. Classical linear regression model assumptions; 6. Univariate time-series modelling and forecasting; 7. Multivariate models; 8. Modelling volatility and correlation; 10. Switching and state space models; 11. Panel data; 12. Limited dependent variable models; 13. Simulation methods; 14. Additional econometric techniques for financial research; 15. Conducting empirical research; Appendix 1. Sources of data used in this book and the accompanying software manuals; Appendix 2. Tables of statistical distributions; Glossary; References; Index.

Über Autor(innen)

Brooks, Chris
Chris Brooks is Professor of Finance and Director of Research at the ICMA Centre, Henley Business School, University of Reading, where he also obtained his Ph.D. He has diverse research interests and has published over a hundred articles in leading academic and practitioner journals, and six books. He is Associate Editor of several journals, including the Journal of Business Finance and Accounting, the International Journal of Forecasting and the British Accounting Review. He acts as consultant and advisor for various banks, corporations and professional bodies in the fields of finance, real estate, and econometrics.