Introductory Econometrics for Finance [Paperback]

Chris Brooks (Author)

Book Description

Publication Date: September 2, 2002 | ISBN-10: 052179367X | ISBN-13: 978-0521793674 | Edition: 1st

This introduction to contemporary topics in the modelling of financial time series is data and problem driven, giving students the skills to estimate and interpret models, and intuitively grasp the underlying theoretical econometrics. An introductory knowledge of calculus, algebra, statistics and regression analysis is assumed. The book focuses on the needs of finance students and uses pedagogic textbook features throughout, notably in the later chapters, which offer advice on planning and executing a project in empirical finance, and which also evaluates sources of on-line financial information.

Editorial Reviews

Review

'New finance studies will like this book. It's clear and easy to follow and the RATs code is integrated with the algebra and provides value added ... the material is very applied and 'hands on' and it should have wide usage in the myriad of finance courses around.' International Journal of Finance & Economics

'This is an excellent textbook of econometrics for students of finance at the undergraduate as well as postgraduate levels. ... I consider this to be an excellent textbook of econometrics for the students as well as the practitioners in the area of finance.' Indian Journal of Statistics

Book Description

This introduction to contemporary topics in the modelling of financial time series is data and problem driven, giving students the skills to estimate and interpret models, and intuitively grasp the underlying theoretical econometrics. An introductory knowledge of calculus, algebra, statistics and regression analysis is assumed. The book focuses on the needs of finance students and uses pedagogic textbook features throughout, notably in the later chapters, which offer advice on planning and executing a project in empirical finance, and which also evaluates sources of on-line financial information.

See all Editorial Reviews

Product Details

• Paperback: 728 pages
• Publisher: Cambridge University Press; 1st edition (September 2, 2002)
• Language: English
• ISBN-10: 052179367X
• ISBN-13: 978-0521793674
• Product Dimensions: 9.8 x 7 x 1.7 inches
• Shipping Weight: 3.1 pounds
• Average Customer Review: 4.5 out of 5 stars  See all reviews (18 customer reviews)
• Amazon Best Sellers Rank: #1,080,569 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

30 of 32 people found the following review helpful:

4.0 out of 5 stars A practical approach to financial econometrics, October 11, 2003

By 

OTAVIO R MEDEIROS, PhD (BRASILIA, DF Brazil) - See all my reviews

This review is from: Introductory Econometrics for Finance (Paperback)

As a professor of financial econometrics in a master's degree course in accounting, I was eagerly searching for a book which should be comprehensive, understandable, and practical. Professor Brooks book came to me as a auspicious surprise. It is very readable, it contains chapters on the main topics of modern empirical studies in finance and accounting, and it brings a lot of exercises not only at the conceptual level, but also exercises with software applications, which are described in detail throughout the book. The only problem is that the software exercises are carried out with data taken from a British company that does not supply them freely. Therefore, unless someone is willing to spend a little fortune, one must reproduce the exercises using alternative data (in my case, data for Brazilian companies or the Brazilian stock market). Of course, it is not possible to get to the results presented in the book, so that the reader's analysis and conclusions might be different from the book's, which may bring doubts about the correctness of the reader's exercise. Despite this, the book is really very good as a text and exercise book for a financial econometrics course at the MSc level, and also a good starting point for those willing to embark on empirical studies in finance and accounting.

10 of 11 people found the following review helpful:

5.0 out of 5 stars Wonderful contribution to undergraduate econometrics and time series, July 23, 2005

By 

G. Yanez (Montréal, Quebec Canada) - See all my reviews
(REAL NAME)   

This review is from: Introductory Econometrics for Finance (Paperback)

This book is the perfect textbook to get undergraduate students motivated with the subject.
It is simple and readable, yet provides a complete treatment of the econometrics of financial series.
I would also recommend this textbook for MBA students, since it contains valuable applications to Eviews and RATS.
If you are interested in an introductory course to econometrics for economists, you will probably prefer Wooldridge's intro book. It has more information on panel data and limited dependent variables.
This one has a terrific and desirable bias towards students particularly interested in finance. The book quickly departs from econometrics towards time series, a topic much more relevant in business schools and is far better in this subject than Wooldridge's.

6 of 6 people found the following review helpful:

4.0 out of 5 stars Great introductory and practical book, July 4, 2005

By 

Erick Ramos Murillo (Cambridge Massachusetts) - See all my reviews
(REAL NAME)   

This review is from: Introductory Econometrics for Finance (Paperback)

My life would have been way easier if I had read this book while in college. It has what many other books lack, and that is explanations on how to carry out the different estimation methods in commonly used software packages such as E-Views and RATS. As for its contents, it has an excellent coverage on the topics that concern those who work with financial time series. It is a good summary of the econometric techniques used for high-frequency data. The explanations are simple and clear and it has a very practical approach. I would only add to this book a CD with the time series with which the estimations were run.