Introductory Econometrics for
Finance
The first textbook to teach
introductory econometrics to finance majors. The text is data - and problem- driven,
giving students the skills to estimate and interpret models, whilst having an intuitive
grasp of the underlying theoretical concepts. The approach of Dr Brooks, based on the
successful course he teaches at the ISMA Centre, one of Europe's leading finance schools,
ensures that the text focuses squarely on the needs of finance students, including advice
on planning and executing a project in empirical finance. The book assumes no prior
knowledge of econometrics, and covers important modern topics such as time-series
forecasting, volatility modelling, switching models and simulation methods. It includes
detailed examples and case studies from the finance literature. Sample instructions and
output from two popular and widely available computer packages (EViews and WinRATS) are
presented as an integral part of the text. Extensive web-based supporting materials are
available free of charge.
Contents
1. Introduction
2. Econometric packages for
modelling financial data
3. A brief overview of the
classical linear regression model
4. Further issues with the
classical linear regression model
5. Univariate time series
modelling and forecasting
6. Multivariate modelling
7. Modelling long-run
relationships in finance
8. Modelling volatility and
correlation
9. Modelling regime shifts
10. Simulation methods
11. Conducting empirical
research in finance
12. Conclusions: recent and
future developments in the modelling of financial time series
References
Appendix. Review of matrix
algebra, calculus, and probability theory
Statistical tables
728 pages 57 tables 67
figures