List Price $65.00, Estima's Price $58.00 (Paperback)
List Price $40.00, Estima's Price $35.00 (Paperback)
From the publisher's description:
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. Its easy-to-follow style and numerous examples and case studies make this the most accessible book in this area, and the best starting-point for non-specialists.
The approach is based on successful courses taught by Dr. Brooks at the ICMA centre, one of Europe?s leading finance schools, ensuring that the text focuses squarely on the needs of students of finance, 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, and web-based supporting materials are available free of charge.
The second edition has been fully revised and updated. It contains two new chapters (on limited dependent variables models and on panel methods) and a number of new case studies from the finance literature are used for exposition of the techniques. The core material on regression analysis has now been split into three chapters to aid readability, and all of the data used in the worked examples in the book are now freely available on the book?s web site so that readers may replicate the analysis if they wish. The web site for the book has now also been updated, and includes new PowerPoint slides, answers to end of chapter questions and multiple choice test banks that can be used for self-study and for assessment.
The RATS Handbook provides a comprehensive introduction to the use of the RATS software for modelling in finance and beyond. Written to complement Introductory Econometrics for Finance, it provides numerous worked examples with carefully annotated code. Readers do not require any prior knowledge of RATS to use the book, and it begins with an exploratory introduction to the software followed by illustrations of how to conduct regressions and run simple tests. Detailed explanations of the outputs are also presented, giving readers the knowledge and confidence to use the software for their own research and to interpret their own results. A wide variety of important modelling approaches are covered in the later chapters, including such topics as time-series analysis and forecasting, volatility modelling, limited dependent variable and panel methods, switching models and simulations methods. All of the data used as examples in the book and the RATS instructions are freely available on the associated web site together with additional supporting materials.
Plus: References; Appendix: review of matrix algebra, calculus and probability theory; Statistical tables.