(2008) Introductory Econometrics for Finance, 2nd Ed (ISBN 0521873061) 5.9MB 647 pages

1 Introduction 1

1.1 What is econometrics? 1

1.2 Is financial econometrics different from ‘economic econometrics’? 2

1.3 Types of data 3

1.4 Returns in financial modelling 7

1.5 Steps involved in formulating an econometric model 9

1.6 Points to consider when reading articles in empirical finance 10

1.7 Econometric packages for modelling financial data 11

1.8 Outline of the remainder of this book 22

1.9 Further reading 25

Appendix: Econometric software package suppliers 26

2 A brief overview of the classical linear regression model 27

2.1 What is a regression model? 27

2.2 Regression versus correlation 28

2.3 Simple regression 28

2.4 Some further terminology 37

2.5 Simple linear regression in EViews -- estimation of an optimal

hedge ratio 40

2.6 The assumptions underlying the classical linear regression model 43

2.7 Properties of the OLS estimator 44

2.8 Precision and standard errors 46

2.9 An introduction to statistical inference 51