A complete resource for finance students, this textbook presents the most common empirical approaches in finance in a comprehensive and well-illustrated manner that shows how econometrics is used in practice, and includes detailed case studies to explain how the techniques are used in relevant financial contexts. Maintaining the accessible prose and clear examples of previous editions, the new edition of this best-selling textbook provides support for the main industry-standard software packages, expands the coverage of introductory mathematical and statistical techniques into two chapters for students without prior econometrics knowledge, and includes a new chapter on advanced methods. 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. Online resources include extensive teacher and student support materials, including EViews, Stata, R, and Python software guides.
Chapter 1 Introduction and mathematical foundations
Chapter 2. Statistical foundations and dealing with data
Chapter 3 A brief overview of the classical linear regression
Chapter 4 Further development of classical linear regression
Chapter 5 Classical linear regression model assumptions
Chapter 6 Univariate time-series modelling and forecasting
Chapter 7 Multivariate models
Chapter 8 Modelling volatility and correlation
Chapter 10 Switching and state space models
Chapter 11 Panel data
Chapter 12 Limited dependent variable models
Chapter 13 Simulation methodChapters
Chapter 14 Additional econometric techniques for financial research
Chapter 15 Conducting empirical research
Appendix 1. Sources of data used in this book and the accompanying software manuals
Appendix 2. Tables of statistical distributions
Glossary
References
Index.
