Introductory Econometrics for Finance /
Chris Brooks.
- 4th ed.
- New York : Cambridge University press , 2019.
- 696 p. : ills. ; 24 cm.
Includes index and bibliographies.
Introduction and mathematical foundations Statistical foundations and dealing with data A brief overview of the classical linear regression model Further development and analysis of the classical linear regression model Classical linear regression model assumptions and diagnostic tests Univariate time-series modelling and forecasting Multivariate models Modelling long-run relationships in finance – Modelling volatility and correlation Switching and state space models Panel data Limited dependent variable models Simulation methods Additional econometric techniques for financial research Conducting empirical research or doing a project or dissertation in finance