Product Description

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

Product Details

• Amazon Sales Rank: #128059 in Books
• Published on: 2008-05-22
• Original language: English
• Number of items: 1
• Binding: Paperback
• 672 pages

Review
'Very comprehensive, and it does a sound job of covering the territory.’ Times Higher Education

About the Author
Chris Brooks is Professor of Finance at the ICMA Centre, University of Reading, UK, where he also obtained his PhD. He has published over 60 articles in leading academic and practitioner journals including The Journal of Business, The Journal of Banking and Finance, The Journal of Empirical Finance, The Review of Economics and Statistics and The Economic Journal. He has also acted as consultant for various banks and professional bodies in the fields of finance, econometrics and real estate.

Customer Reviews

This book should be read by every finance student
This is the book I would recommend for every student who wants to start using econometrics in finance. From OLS regressions to Garch and Markov-switching models, this book covers a lot of key econometric materials. It's short, very clear and well-written. It is the best introductory book to financial econometrics I've read so far (and it is only the first edition). The first part of the book (on the OLS model) can be read by students who have no particular background in econometrics. The second part of the book (mainly on time series models) is very convenient for final year BSc / 1st year MSc students in finance. Math is used only when it is strictly required. Focus is really placed on the intuition behind the model. There are a lot of finance papers that are discussed (related to the author's work) and a lot of detailed applications using Eviews and RATS (with a nice and short introduction to these softwares in chapter 1). The programs are available free on the editor's website while the data are NOT! (Datastream did not want the data to be downloadable free of charge). That's why I do not give 5 stars to the book. Note that there is nothing about intraday data and market microstucture.

Excellent book. If you never dealt with econometrics before - this is the best starting point.
Excellent book. If you never dealt with econometrics before - this is the best starting point. Author develops intuition - not just states and proves formulas. Highly recommend. This is the only book in econometrics which got me interested in the subject.

a best book for finance
When I studied finance in the centre of ICMA ,the author was a lecturer.
I studied econometrics with this book.The merit of this book is that the student can understand the basic theory easily.The demerit of this book is that the deep theory is not covered.Anyway many finance courses choose this book.The author has moved from the university of reading to the city university.