This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. 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. Bundle with EViews student version 6 available. Please contact us for more details.
List of figures; List of tables; List of boxes; List of screenshots; Preface to the second edition; Acknowledgements; 1. Introduction; 2. The classical linear regression model; 3. Further development and analysis of the classical linear regression model; 4. Classical linear regression model assumptions and diagnostic tests; 5. Univariate time series modelling and forecasting; 6. Multivariate models; 7. Modelling long-run relationships in finance; 8. Modelling volatility and correlation; 9. Switching models; 10. Panel data; 11. Limited dependent variable models; 12. Simulation methods; 13. Empirical research and doing a project or dissertation; 14. Recent and future developments; Appendix 1: A review of some fundamental mathematical and statistical concepts; Appendix 2: Tables of statistical distributions; Appendix 3: Sources of data used in this book; Index.