Book contents
- Frontmatter
- Contents
- List of figures
- List of tables
- List of boxes
- List of screenshots
- 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
Preface to the third edition
- Frontmatter
- Contents
- List of figures
- List of tables
- List of boxes
- List of screenshots
- 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
Summary
Sales of the first two editions of this book surpassed expectations (at least those of the author). Almost all of those who have contacted the author seem to like the book, and while other textbooks have been published since in the broad area of inancial econometrics, none are really at the introductory level. All of the motivations for the irst edition, described below, seem just as important today. Given that the book seems to have gone down well with readers, I have left the style largely unaltered but changed the structure slightly and added new material.
The main motivations for writing the irst edition ofthe book were:
• To write a book that focused on using and applying the techniques rather than deriving proofs and learning formulae.
• To write an accessible textbook that required no prior knowledge of econometrics, but which also covered more recently developed approaches usually only found in more advanced texts.
• To use examples and terminology from finance rather than economics since there are many introductory texts in econometrics aimed at students of economics but none for students of finance.
• To litter the book with case studies of the use of econometrics in practice taken from the academic finance literature.
• To include sample instructions, screen dumps and computer output from a popular econometrics package. This enabled readers to see how the techniques can be implemented in practice.
• To develop a companion web site containing answers to end of chapter questions, PowerPoint slides and other supporting materials.
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- Information
- Introductory Econometrics for Finance , pp. xxi - xxivPublisher: Cambridge University PressPrint publication year: 2014
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