Product Description

This is 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 Cass Business School, one of Europe's leading business 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.

Product Details

• Amazon Sales Rank: #327330 in Books
• Published on: 2002-08-01
• Original language: English
• Number of items: 1
• Binding: Paperback
• 728 pages

Review
‘New finance studies will like this book. It’s clear and easy to follow and the RATs code is integrated with the algebra and provides value added … the material is very applied and ‘hands on’ and it should have wide usage in the myriad of finance courses around.’ International Journal of Finance & Economics

‘This is an excellent textbook of econometrics for students of finance at the undergraduate as well as postgraduate levels. … I consider this to be an excellent textbook of econometrics for the students as well as the practitioners in the area of finance.‘ Indian Journal of Statistics

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.