Introductory eonometrics for finance

By:

Brooks Chris

Contributor(s):

Publication details: Cambridge Cambridge University Press 2002Description: 701p xxvISBN:

9780521793674

Subject(s):

1. Finance - Econometric Models2. Econometrics

DDC classification:

332.010000 BRO

Contents:

Contents 1. Introduction; 2. Econometric packages for modelling financial data; 3. A brief overview of the classical linear regression model; 4. Further issues with the classical linear regression model; 5. Univariate time series modelling and forecasting; 6. Multivariate modelling; 7. Modelling long-run relationships in finance; 8. Modelling volatility and correlation; 9. Modelling regime shifts; 10. Simulation methods; 11. Conducting empirical research in finance; 12. Conclusions: recent and future developments in the modelling of financial time series; References; Appendix: review of matrix algebra, calculus and probability theory; Statistical tables.

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Holdings
Item type	Current library	Shelving location	Call number	Status	Date due	Barcode
BOOKs	National Law School	Library Compactors	332.01 BRO (Browse shelf(Opens below))	Available		18397

Contents
1. Introduction;
2. Econometric packages for modelling financial data;
3. A brief overview of the classical linear regression model;
4. Further issues with the classical linear regression model;
5. Univariate time series modelling and forecasting;
6. Multivariate modelling;
7. Modelling long-run relationships in finance;
8. Modelling volatility and correlation;
9. Modelling regime shifts;
10. Simulation methods;
11. Conducting empirical research in finance;
12. Conclusions: recent and future developments in the modelling of financial time series;
References;
Appendix: review of matrix algebra, calculus and probability theory;
Statistical tables.

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