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Introductory econometrics for finance / Chris Brooks

By: Brooks, Chris [autor]Publisher: New York : Cambridge university press, ©2014Edition: 3rd edDescription: xxiv, 716 páginas : ilustraciones, gráficos, tablas ; 25 cmContent type: texto Media type: no mediado Carrier type: volumenISBN: 9781107661455Subject(s): Econometria | Econometrìa | Finanzas | Modelos econométricosDDC classification: 332.015195
Contents:
Mathematical and statical foundations. -- A brief overview of the classical linear regression model. -- Classical linear regression model assumptions and diagnostic test. -- Multivariate models. -- Modelling volatility and correlation. -- Panel data. -- Simulation methods.
Summary: 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.
List(s) this item appears in: MBA
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Item type Current location Collection Call number Vol info Copy number Status Date due Barcode Item holds
Book Book B. Posgrados
Colección general
Colección general 332.015195 B871 (Browse shelf) 3rd ed. 2014 1 Available 0000044829
Book Book B. Posgrados
Colección general
Colección general 332.015195 B871 (Browse shelf) 3rd ed. 2014 2 Available 0000044830
Book Book B. Posgrados
Colección general
Colección general 332.015195 B871 (Browse shelf) 3rd ed. 2014 3 Available 0000044831
Total holds: 0

Enhanced descriptions from Syndetics:

This bestselling and thoroughly classroom-tested textbook is a complete resource for finance students. A comprehensive and illustrated discussion of the most common empirical approaches in finance prepares students for using econometrics in practice, while detailed case studies help them understand how the techniques are used in relevant financial contexts. Worked examples from the latest version of the popular statistical software EViews guide students to implement their own models and interpret results. 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. Building on the successful data- and problem-driven approach of previous editions, this third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time. A companion website, with numerous student and instructor resources, completes the learning package.

Include appendix, glosary and index. -- Appendix 1. Sources of data used this book. -- 2. Tables of statical distributions.

Mathematical and statical foundations. -- A brief overview of the classical linear regression model. -- Classical linear regression model assumptions and diagnostic test. -- Multivariate models. -- Modelling volatility and correlation. -- Panel data. -- Simulation methods.

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.

Table of contents provided by Syndetics

  • Preface to the third edition
  • Acknowledgements
  • 1 Introduction
  • 2 Mathematical and statistical foundations
  • 3 A brief overview of the classical linear regression model
  • 4 Further development and analysis of the classical linear regression model
  • 5 Classical linear regression model assumptions and diagnostic tests
  • 6 Univariate time series modelling and forecasting
  • 7 Multivariate models
  • 8 Modelling long-run relationships in finance
  • 9 Modelling volatility and correlation
  • 10 Switching models
  • 11 Panel data
  • 12 Limited dependent variable models
  • 13 Simulation methods
  • 14 Conducting empirical research or doing a project or dissertation in finance
  • Appendix 1 Sources of data used in this book
  • Appendix 2 Tables of statistical distributions
  • Glossary
  • References
  • Index

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