Synopses & Reviews
This introduction to contemporary topics in the modelling of financial time series is data and problem driven, giving students the skills to estimate and interpret models, and intuitively grasp the underlying theoretical econometrics. An introductory knowledge of calculus, algebra, statistics and regression analysis is assumed. The book focuses on the needs of finance students and uses pedagogic textbook features throughout, notably in the later chapters, which offer advice on planning and executing a project in empirical finance, and which also evaluates sources of on-line financial information.
Synopsis
This is the first textbook to teach introductory econometrics to finance majors. The text gives 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. 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.
Table of Contents
1. Introduction; 2. Econometric packages for modelling financial data; 3. A brief overview of the classical linear regression model; 4. Further issues with the classical linear regression model; 5. Univariate time series modelling and forecasting; 6. Multivariate modelling; 7. Modelling long-run relationships in finance; 8. Modelling volatility and correlation; 9. Modelling regime shifts; 10. Simulation methods; 11. Conducting empirical research in finance; 12. Conclusions: recent and future developments in the modelling of financial time series; References; Appendix: review of matrix algebra, calculus and probability theory; Statistical tables.