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Introductory econometrics for finance / Chris Brooks, The ICMA Centre, Henley Business School And University of Reading.

By: Contributor(s): Publisher: Cambridge ; Cambridge University Press, 2014Edition: Third editionDescription: xxiv, 716 p. ; 25 cmISBN:
  • 9781107661455 (pbk.)
Subject(s): DDC classification:
  • 332.01 BRO
LOC classification:
  • HG173 .B76 2014
Contents:
CONTENTS 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
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CONTENTS
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