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'Very comprehensive, and it does a sound job of covering the territory.' Times Higher Education
Product Description
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.
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Most Helpful Customer Reviews
14 of 14 people found the following review helpful
Format:Paperback
This is the book I would recommend for every student who wants to start using econometrics in finance. From OLS regressions to Garch and Markov-switching models, this book covers a lot of key econometric materials. It's short, very clear and well-written. It is the best introductory book to financial econometrics I've read so far (and it is only the first edition). The first part of the book (on the OLS model) can be read by students who have no particular background in econometrics. The second part of the book (mainly on time series models) is very convenient for final year BSc / 1st year MSc students in finance. Math is used only when it is strictly required. Focus is really placed on the intuition behind the model. There are a lot of finance papers that are discussed (related to the author's work) and a lot of detailed applications using Eviews and RATS (with a nice and short introduction to these softwares in chapter 1). The programs are available free on the editor's website while the data are NOT! (Datastream did not want the data to be downloadable free of charge). That's why I do not give 5 stars to the book. Note that there is nothing about intraday data and market microstucture.
4 of 4 people found the following review helpful
Excellent book. If you never dealt with econometrics before - this is the best starting point.
1 Feb 2009
Format:Paperback
Excellent book. If you never dealt with econometrics before - this is the best starting point. Author develops intuition - not just states and proves formulas. Highly recommend. This is the only book in econometrics which got me interested in the subject.
1 of 1 people found the following review helpful
Format:Paperback
This was my coursebook of financial econometrics at Financial Engineering master program in Bogazici University. Chris's Book is one of the best in financial econometrics. Detailed but clear explanations to the hard concepts. The web site of this book is also very beneficial.
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Most Recent Customer Reviews
BING
FAST DELIVERY!!!I required it on Monday, and I received it on Wednesday!!! The quality of item is satisfied, and absolutly new!!!
Published 7 months ago by bing
very good
The dilivery is so fast and the book just like new.It's a happy deal.I comment this website,it's very convenient and fast.
Published 8 months ago by Fay
Recommended
Good for beginners in the econometrics as well as for more advanced researchers. The material is coherent and well presented.
Published on 30 May 2010 by D. Naumenko
think twice before u decide
I buy this book just because I have to. Actually, in order to understand what the author says in it, I have to refer to other texbooks in econometrics well in advance. Read more
Published on 11 Mar 2009 by H. Vu
a best book for finance
When I studied finance in the centre of ICMA ,the author was a lecturer.
I studied econometrics with this book. Read more
I studied econometrics with this book. Read more
Published on 15 Feb 2008 by Rae Hyun Kim
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