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Introductory Econometrics for Finance [Paperback]

Chris Brooks
4.3 out of 5 stars  See all reviews (3 customer reviews)

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Book Description

1 Aug 2002
This is the first textbook to teach introductory econometrics to finance majors. The text is data- and problem-driven, giving students the skills to estimate and interpret models, whilst having an intuitive grasp of the underlying theoretical concepts. The approach of Dr Brooks, based on the successful course he teaches at the Cass Business School, one of Europe's leading business schools, ensures that the text focuses squarely on the needs of finance students, including advice on planning and executing a project in empirical finance. The book assumes no prior knowledge of econometrics, and covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods. It includes detailed examples and case studies from the finance literature. Sample instructions and output from two popular and widely available computer packages (EViews and WinRATS) are presented as an integral part of the text.


Product details

  • Paperback: 728 pages
  • Publisher: Cambridge University Press (1 Aug 2002)
  • Language: English
  • ISBN-10: 052179367X
  • ISBN-13: 978-0521793674
  • Product Dimensions: 25 x 17.4 x 4.4 cm
  • Average Customer Review: 4.3 out of 5 stars  See all reviews (3 customer reviews)
  • Amazon Bestsellers Rank: 271,330 in Books (See Top 100 in Books)
  • See Complete Table of Contents

Product Description

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

An introductory econometrics book for finance students. The approach adopted is data and problem driven, giving students the skills to estimate and interpret models, while having an intuitive grasp of the underlying theoretical concepts. The book assumes no prior knowledge of econometrics, and covers important modern topics.

Inside This Book (Learn More)
First Sentence
This chapter sets the scene for the book by discussing in broad terms the questions of what is econometrics, and what are the 'stylised facts' describing financial data that researchers in this area typically try to capture in their models. Read the first page
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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4.3 out of 5 stars
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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.
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3 of 4 people found the following review helpful
4.0 out of 5 stars a best book for finance 15 Feb 2008
Format:Paperback
When I studied finance in the centre of ICMA ,the author was a lecturer.
I studied econometrics with this book.The merit of this book is that the student can understand the basic theory easily.The demerit of this book is that the deep theory is not covered.Anyway many finance courses choose this book.The author has moved from the university of reading to the city university.
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5.0 out of 5 stars review 26 Oct 2013
By maxime
Format:Paperback|Verified Purchase
I bought introductory Econometrics for Finance (Chris Brooks) and it arrived on time just like it was described so I am happy
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Most Helpful Customer Reviews on Amazon.com (beta)
Amazon.com: 4.5 out of 5 stars  22 reviews
32 of 33 people found the following review helpful
4.0 out of 5 stars A practical approach to financial econometrics 11 Oct 2003
By OTAVIO R MEDEIROS, PhD - Published on Amazon.com
Format: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.
11 of 12 people found the following review helpful
5.0 out of 5 stars Wonderful contribution to undergraduate econometrics and time series 23 July 2005
By G. Yanez - Published on Amazon.com
Format: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 5 July 2005
By Erick Ramos Murillo - Published on Amazon.com
Format: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.
7 of 8 people found the following review helpful
4.0 out of 5 stars This book should be read by every finance student 20 Sep 2004
By M. Petitjean - Published on Amazon.com
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. 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...No comment) That's why I do not give 5 stars to the book. And there is nothing on intraday data.
2 of 2 people found the following review helpful
4.0 out of 5 stars Excellent book, True to name 11 July 2008
By kqquant - Published on Amazon.com
Format:Paperback|Verified Purchase
I would recommend this for beginners not only in econometrics, but also who do not have much knowledge in Maths or need a refresher along the way. This book is the best for introduction, the most user accessible text on this topic I know of. For example, it even explains what a trace of a matrix, so that one does not have to back and forth between books.
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