Introductory Econometrics for Finance

SECOND EDITION

Chris Brooks

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 the

International Journal of Forecasting. He has also acted as consultant for

various banks and professional bodies in the fields of finance,

econometrics and real estate.