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Econometrics

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Introductory Econometrics for Finance
SECOND EDITION

This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. It includes examples and case studies which finance students will recognise and relate to. This new edition builds on the successful data- and problem-driven approach of the first edition, giving students the skills to estimate and interpret models while developing an intuitive grasp of underlying theoretical concepts.
Key features:
● Thoroughly revised and updated, including two new chapters on









panel data and limited dependent variable models
Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models
Detailed examples and case studies from finance show students how techniques are applied in real research
Sample instructions and output from the popular computer package
EViews enable students to implement models themselves and understand how to interpret results
Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice
Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods
Thoroughly class-tested in leading finance schools

Chris Brooks is Professor of Finance at the ICMA Centre, University of
Reading, UK, where he also obtained his PhD. He has published over sixty articles in leading academic and practitioner journals including the Journal of Business, the Journal of Banking and Finance, the Journal of
Empirical Finance, the Review of Economics and Statistics and the Economic
Journal. He is an associate editor of a number of journals including...

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